As discussed by others, actually becoming an ICANN-accredited registrar is cost-prohibitive for small entities (and a waste of resources even for most big entities).
If you want to take a half-step between "being your own registrar" and being a retail customer, several registrars allow you to sign up as "resellers" - this gives you access to (perhaps) slightly better pricing and web/API interfaces that are more oriented towards technical and/or wholesale users. I have been set up like this with http://www.opensrs.com for several years now and it meets my needs - I don't actually resell domains, but I have a number of domains and find it easier to manage them through OpenSRS' interface. Also, all of the other registrars I've interacted with (Verisign, register.com, GoDaddy) have slowly turned into ***holes over time, and OpenSRS doesn't seem inclined in that direction.
GoDaddy has a similar program at http://www.wildwestdomains.com . I am not a GoDaddy fan but it might be worth a look. Enom at http://www.enom.com is another "reseller registrar" - when I evaluated registrars them seemed very Windows/Microsoft focused (and hence not a good cultural fit for me) but they may have changed in the interim or you may be a better match.
I'm sure there are others, those are the three that I can name without doing research.
I don't think they're really going to save you significant money over a traditional retail-oriented registrar - the advantage (such as it is) you get from them is the different approach to payment and provisioning.