Hey Mike - yes, there are still successful self-published nature photography calendars. I just finished my 15th yearly wall calendar and also the 2nd yearly engagement calendar, all regional and self published. We get 2,500 of the wall calendars printed at $4-$5 cost each (includes print broker fee, shipping, customs, etc.), and typically end up making $10-$12k net each year (no profit on the engagement calendars yet, but we're hoping to sell enough this year to break even - takes a while to build up a market sometimes). The wall calendars are premium-quality, 12" x 12" folded size, 28 pages, shrink wrapped with stiffener. Takes 3-5 months production time until delivery once we send the completed pdf files to the printer.
When I did my first wall calendar in 2000/2001, it was a shot in the dark and we were not expecting to make a profit - more of a promotional tool. We did sell enough to make a small profit that first year, a little more the next, and the next. But we've always had to take a load of unsold/returned calendars to the recycle yard, although we first distribute as many as we can to local nursing homes on Christmas day - those happy smiles are as good as any check.
Most of the big chain stores buy from a giant calendar distribution company who gets up to an 80% discount from the big publishing houses, and in January or February they return all unsold copies to the publisher for refund. Those calendars are already sitting in the chain store warehouses or in the back of the store now (since May or June), or in many cases are already on the retail shelf. The deals are usually with large publishers who have a lot of different calendars, and rarely with small-time operators like me (I've got 16 books in print that we sell and distribute, which is still very small in the publishing world - ma and pa, no employees). Sometimes individual Barnes & Noble stores are able to purchase direct from a small supplier with just one calendar or book - those deals are done at the local level through the book department manager, and you just have to knock on their door and ask (with product in hand of course). While doing your on-site research, you will find most wall calendars are in the $14.95 retail and under range, much less at discount stores like Wal Mart, where you can pick up a ton of great calendars for $5 each - but they buy hundreds of thousands at a time (from their own printing companies perhaps). So you have to begin with the retail price, then work backwards to figure out if you can afford to produce your own calendar or not, kind of like everything else.
It can be a lot of fun to have a calendar on the wall with your name on it, although most of the time it will cost you for that enjoyment since most self-published calendars never made a dime.