Lensing of one member of a binary by its companion is studied for several classes of binaries. For binaries in which at least one member is an ordinary (noncompact) star, the optical depth to lensing is extremely low, tau less than or similar to upsilon(esc)(4)/c(4) similar to 10(-11). Here upsilon(esc) is the escape velocity from the component with the weaker potential. Binaries composed of two compact objects can have higher optical depths. About 0.2% of millisecond pulsar binaries will be self-lensing. Such objects can be used to probe the pulsar-emission mechanism.