Lessn offers an easy way to create your own URL shortener
All you have to know how to do to set up Lessn is enter some login info in a php config file and upload the whole package to your server. After that, you're good to go. You can put in your full URL, and Lessen will give you a short one for it. Then, whenever you want to use your shortener, you can click the included bookmarklet. It might be a lot more work than just using Bit.ly, but having your own shortlinks on your own server means that you don't have to risk a service shutting down and leaving you with dead links.