I met a PhD student that is completely self-funded at our engineering college . Our university is notorious for being one of the most expensive schools to attend; I can't imagine someone funding his own graduate studies for five/six years, right after paying for an undergrad education.
He did land an important internship at a large hedge fund, though, so I'm guessing in the long run, if he lands in finance, it could be all worth it.
My question is: are self-funded PhDs in the STEM fields at U.S. universities pretty common?