Long answer short, no I don't know anyone who has done it alone. The immigration alone is difficult and the accreditiation process for state equivalency can be a nightmare. It is much simpler to use the services of an agency. The nursing exam is quite a tricky one (or so I understand) and many agencies will help you with coaching and practice exams beforehand.
Having said that I don't think it's impossible to do it alone and it may even be more financially rewarding (the agencies have to make money somewhere). From here in Canada it's relatively starightforward due to the NAFTA agreement, but even that has got much harder in the past two years.
My best advice would be try a reputable agency, you don't have to stay with them forever.