The first thing I want to say is, roof penetrations are not a light subject (no pun intended). If you don't do it correctly, you'll have water all over your bed and it will probably happen in the middle of the night.
I wouldn't recommend that you install a skylight yourself if the roof is steaper than a 6/12. This means that it rises 6 inches vertically, for every 12 inches horizontally. At least give it some consideration. An 8/12 is somewhat difficult to stand on, and falling is never good for your health.
With that out of the way, let's look at the factors you're going to face when preparing for your skylight. If you have a built-up roof, such as you might find in a log home, you'll have to skip through some of this, as the procedure is somewhat different. I'll work on a seperate article for that type of installation, and post here when it's done.

Skylight Size

If you head up to the attic you'll find one of two things. Trusses, or conventional framing. Either one works, but trusses will make things a bit nicer, from an installation standpoint. I am assuming, of course, that you already know what room you're wantint to put the light in. Once you look around the attic and make sure there aren't any encumberences in the general vicinity, hope back down and go to the room you'll be putting the light in.
Locate an approximate position as to where you want the light to go. Stay away from the exterior walls as much as possible to avoid running into any framing. Get a step ladder so that you can reach the ceiling, bring a hammer, a finish nail, and a long piece of wire, like a coat hanger. Now, invision the skylight in the ceiling and locate one of its corners. Use your finish nail and hammer to poke a hole in the ceiling, where you would like the corner. There is a chance of you hitting a ceiling joist, but it's a chance you have to take. If it feels like you hit something solid, you'll want to move to one side or the other, depending on where you want the skylight. For example, if you want the bulk of the skylight to the left, move the nail to the left. Basically the joist will be on the outside of the skylight.
Once you get the nail through, stick the wire up enough so that it stays up in the attic all by itself. Now go up and locate the wire. Remove any insulation from the area. Most of it will be replaced, but you won't want to knock a bunch of it down into the room, it'll be messy enough down there once we get going.