I just end up printing out the data sheets I need when I need them, which is also nice because I don't have to print out the whole sheet, just the parts I'll refer to a lot. No need to print out ten pages of thermal characterization curves or "not for use in life support devices" boilerplate if I don't need them.
I recently ran across
Lulu.com which does print-on-demand incl. qty-1 runs and stuff. I haven't tried them but they look reasonable for things like 200-page microcontroller manuals which I don't want to print myself. 2¢ per page, plus maybe $5 for binding and stuff. Cheaper than Kinko's, but maybe not cheaper than a local print shop. I haven't checked.