I just implemented some basic z-pass stencil shadows, and am a bit disappointed with how they handle self-shadowing curves. The problem is that each polygon of the curve is either fully in shadow or fully out of shadow so the geometry becomes a lot more obvious... see the jagged line in this screenshot. Is that just a limitation of the algorithm or is it just my implementation of it?

You need to make your lighting equation so that the far side of the object is completely dark; then you'll get a smooth line.

Alternately, you could render your scene once only with ambient lighting, then another time after the stencil shadows so only the unshadowed parts get light. That way self-shadowing only looks different if the part that's being shadowed would usually be lit.