The Perdew-Zunger self-interaction-corrected density functional theory (SIC-DFT) was implemented self-consistently using a quasi-Newton direct minimization method. We calculated SIC-DFT energies for a number of atoms and molecules using various approximate density functionals, including hybrids. Self-interaction errors (SIE) of these functionals were compared and analyzed in terms of contributions from valence and core orbitals. We also calculated enthalpies of formation of the standard G2-1 set of 55 molecules and found that self-interaction-correction (SIC) improves agreement with experiment only for the LSDA functional, while all other functionals show worse performance upon introducing SIC. This is the first systematic study of the effect of SIC on thermochemical properties. We found no direct connection between the magnitude of the SIE contained in a functional and its performance for thermochemistry. Approximate functionals with large self-interaction errors can accurately reproduce enthalpies of formation. Our results do not support the popular belief that a smaller SIE of hybrid functionals is the main reason for their higher accuracy. (C) 2004 American Institute of Physics.