You absolutely can. Most home security companies give their customers the option of free DIY installation, which is usually as simple as plugging in a device (or putting some batteries into it), hooking it up to your home's WiFi system, and pairing it with its hub and/or your smartphone. SimpliSafe (our No. 1 pick) says that 97 percent of its customers go this route, if that tells you anything about the level of effort involved.
For more complicated setups (and those of us who aren't especially tech-savvy), professional installation typically starts around $100.