I tried once but was not successful. The seeds need to be started 3-4 months before planting out and can take 6-8 weeks to germinate. The nursery plants are most likely all cultivars that are more desirable for bedding plants. They are mostly sterile so they will continue to bloom all season, and will not become invasive.
It is however on my short list of things I was successful at propagating with cuttings. I took cuttings from a cultivar in early fall, they rooted easily and I had a few nice sized plants in spring. The next year I missed getting cuttings. Funny, I was just looking at them and debating trying it again, it's been a few years. They are beautiful and grow real fast!
I don't think any are cold hardy past about zone 8 and the species lantana can be invasive, but I think only in hot climates. Also, the berries are poisonous to animals, but in large quantity. Most cultivars will not produce berries.