Threaded v. threadless: some feel that threadless is easier to adjust and more likely to stay in adjustment. Some disagree. My take is that if you have an older, threaded fork (i.e., a threaded steerer tube), just get a threaded headset and proceed.
As for doing it yourself, having a press to install the new headset is _very_ helpful in doing the job correctly w/o damaging either the headset or the frame (headtube). Absent a press, it kinda makes sense to take the frame to a competent bike mechanic. If you do that, you might want to ask about having the head tube and the fork crown "faced" to allow the best alignment. This will prolong the life of the new headset. (This may have been done when the frame was new, but only a visual inspection can confirm that.)