I've been very happy with Kindle Direct Publishing. It is so very user friendly. Really great for someone just starting out in the self-publishing world. I wasn't quite as happy with the Select program. Not that there's anything wrong with it. I think it's a great idea. Maybe just not the best idea for new, unknown authors.
As a requirement for select you publish your work exclusively through KDP. In return you are part of their lending program and receive a share of the profits based on how many times your book is borrowed. You also have the opportunity to offer special prices on your book such as 'free' for a certain number of days or you can offer a 'Countdown deal'.
The downside is that not every reader uses Amazon. (surprising I know!) By publishing exclusively through KDP you might be missing out on readers at other sites like Apple and Barnes and Noble who might love your work if they just had a chance to see it.
I personally, with my very limited bit of experience, believe a new author should publish to as many platforms as possible. (Maybe not the first day, in case there are a couple of last minute correction to be made. It's much easier to do that from just one site.) Once you've given each platform a fair amount of time then you can make the decision of whether or not to enter into an exclusivity contract with KDP Select.
If you are getting a lot of sales on other platforms, it's probably not a good idea to pull your books. However, if you're only getting sales from Amazon, what a great opportunity to take part in some of the special KDP Select benefits.
I'm continually learning about self-publishing and I might come across reasons why my opinion is completely wrong. (If I do I'll be sure to update this article.) But for now this is where I stand.
8/1/14 Update! I'm getting close to releasing the final book in The Scinegue Series and am hoping to attract some new readers to the series so I've taken Scinegue, the first book in the series, out of KDP select and added it to some other sites like Barnes & Nobles and Apple. I'm planning to do another promotion on it in a month or so, and after that I can judge how sales are doing at each site. I can always re-enroll in select later if I'm not getting many sales elsewhere.