If you don't want to use 3rd party services for sending SMS you can take a GSM modem and connect it as serial device to your PC. Then you talk via RS232 and AT commands with the modem and send your SMS.
GSM modems like TC35i or MC52i (e.g. at Amazon or sometimes on ebay, Google is yout friend) are doing a good job and of course you need a SIM card.
RS232 communication with .Net can be found here http://msdn.microsoft.com/en-us/library/system.io.ports.serialport.aspx
] and of course on Codeproject.