I'm not sure how Amazon does returns. I know they list with Ingram too, which I think means the book can be stripped for a refund. I need to ask them about that.
With Lulu, you don't have to go get your own ISBN, they supply one when they list you through all their distrbutors. THAT costs a good deal though (for a company my size it's a good deal, at least).
I've never actually done a setup, although it seem RELATIVELY painless. There's an extra step or two when you go to distribution, because you have get the ISBn, then generate a bar code, then place them on your cover and reupload (if you use wrap around at least, which I will). Jonathan Dale is pretty happy with them. I've ordered a couple of other people's books so I can get a general seonse of quality. They haven't arrived yet.