"Dirty oil is thick and causes extra friction between the moving parts; cutting efficiency and increasing wear. Use a "Energy Conserving" type motor oil." - iCARumba
Also, you should always change your oil filter at the same time you change your oil.
I'm no car expert, and I know there are a few around here. Can you post in the comments any info you have on this? Would you recommend someone change their oil themselves? Do you know of a website with good instructions (I found this one for motorcycles)? Should people use synthetic oil? Thanks!
How frequently should you change your oil?
Places like Jiffy Lube like to tell you every 3 mos. My owner's manual for my Corolla says every 7500mi unless you meet one of a list of conditions - then do it every 5000mi. I fall in the every 5000mi category because I drive my car on frequent trips of less than 5mi in freezing weather. Check your owner's manual to see when you should change yours.
Even more frequently than you change the oil, checking the level and condition of your oil is a good idea. Click the link to watch a video with instructions.
You should always recycle engine oil. If you change your oil yourself, you can take it to an oil change place to recycle it for you. If you go somewhere to have your oil changed, they should be recycling your oil (make sure that they do!).