Most new refrigerators have icemakers, but installation is typically an added expense. If you are retrofitting an icemaker to an older fridge, you will need to tap into a cold water line to supply the icemaker. In either case, doing it yourself is not difficult, as long as you work carefully with the copper tubing. If any kinks develop, don't try to fix them -- cut them off or use a new piece of tubing.
For fresher-tasting ice, install a water filter and run the icemaker line through it. As an alternative to the saddle-tee valve shown in these steps, you can install a new stop valve or a stop valve with two outlets.
An hour or two for most installations
Drill with long drill bit, screwdriver, adjustable wrench, tubing bender
Drilling holes, cutting and running copper tubing, making simple connections
Locate a nearby cold water pipe to tap
Copper tubing, saddle-tee valve