Magazines within magazines
One way round the problem of distributing your self-published magazine is to publish your content within the pages of another publication, something London design team Abake have been doing for a while with their I Am Still Alive project. I Am Still Alive appears as a series of pages within other independent magazines, and each one-off appearance is numbered as issue 1, 2, 3, etc (the most recent issue I've seen is issue 14). The host magazines are all small and global so it is unlikely there is anyone out there with a complete set of I Am Still Alive. The content is abstract to the point of being obtuse, but this concept of the 'parasitic' magazine is a very interesting idea.
Another publishing project using a similar technique is Mi Magazine which has published four 'issues' to date (page from issue 1 above). The people behind Mi Magazine commission artists and designers to react to a brief then publish each response as a single page in a different magazine; each issue of Mi is defined as the set of pages from one brief. To get the whole 'issue' you need to track down the various magazines involved. (thanks Niloufar)
See the issues to date at Mi Magazine.