You could put in a start up procedure that sends you an email each time the server comes online. That wouldn't tell you it was going down, but it would be self-contained. The real issue is that you can't simply have the server tell you it's going offline. Instead, you need another server to watch the first one (who watches the watchmen type deal). You can build this out yourself any number of ways. I liked using SQL Agent to set up a regular job that queries the server. If it fails, you know it's offline. That's one way to do it.

But, as was already said, building your own monitoring suite is a lot of work. Better to buy one. There are so many out there built out so much better than what you'll be able to put together that it just makes sense.

Fair warning, I work for a vendor, but I won't bring up the product.