Does Amazon support any kind of automatic scheduled snapshots that can be configured for each single AMI/EBS?
my goal is to have each AMI backup itself regularly without relying on external scripts and similar.
You can use the AWS command-line tools to automate EBS snapshots. Just schedule a cron job or similar to run ec2-create-snapshot
command at the desired interval on your ebs volume.
You can also make API calls over http to do the same thing, if you don't want to install the command line tools.
See the link for more information on creating EBS snapshots.
http://docs.amazonwebservices.com/AWSEC2/latest/UserGuide/ebs-creating-snapshot.html