Setting up your own website is relatively easy but getting people to look at your website and buy is hard.
What are you selling? Let's say you're selling iPhone cases. People wanting to buy will search google and see pages and pages of relevant sites. The major sellers including Amazon and eBay will be on the first page and your site will be on page 40, if you're lucky.
You will need to spend a lot of time and effort creating the website, maintaining it and most importantly driving traffic to it.
Lots of big companies who sell on line and in the High St also sell on eBay. Like it or not it is a 'go to' site for a lot of buyers and has a big presence on search engines. If you sell anything on eBay people will find you and that is what you are paying for.
Buyers trust eBay. If things go wrong for them they know they will usually get their money back. Not so buying from Joe Bloggs on a random website.
For the casual seller it's not worth it, you might as well advertise on Gumtree. If you want to go it alone this gives excellent but basic advice on starting up
http://www.thisismoney.co.uk/money/smallbusiness/article-2412120/How-set-website-small-business-getting-ranked-Google.html