In Michigan, you are absolutely allowed to do your own build on your own land. It just has to pass code inspection, and it has to pass at every stage. (i.e., they want to inspect structural/electrical/plumbing/hvac/etc, before you put drywall up, to ensure things are actually OK underneath, and then inspect it again after drywall is applied).
Getting utilities can be hard and expensive if you are building off-grid. But there are so many vacant lots that already have power+water+gas at the street, that you don't really have to do that unless you really want to live in a specific off-grid location. (Suburbs and some townships make a lot of their money from this, so they usually want you building near their pre-existing utilities and hooking up to it)
Sewage tends to be the hardest part -- some places have "most" utilities, but not waste & water. And people assume they can just put in a leech field "septic tank", but since most of the state is already swampland, you have to be careful of how and where you put that, so you don't poison the water. (They will make you get a land survey to prove your location is safe to leech from, and they will inspect your install, and yes people complain all the time about it, but when they didn't do this, people did poison the water all the time, and then accidentally drank their own waste water and make themselves sick, or accidentally poisoned their neighbors water and made those folks sick, etc).
People complain about the licensing and permitting and inspections, but honestly, it's all been extremely fair and pretty quick and cheap. If you aren't passing your inspections here, you're likely doing something grossly negligent (or are about to do something grossly negligent).