I finally looked into this. The process for me was mostly painless, just a bit slow.
First, if you're not getting an EV certificate then I don't think there is any point in going any further. To get an EV certificate requires you to pay more and jump through some hoops.
I bought the EV certificate from signmycode.com. No matter which company you buy from it seems all the certificates come from Sectigo/Comodo, so just find the cheapest you can. Gone are the days when the prices @Dan-Korneff posted were available. You're looking at 3x that price now.
Next they want to verify who you are. This involves giving them details about your business (you must have a business to get an EV certificate).
I have a registered limited company in the UK, so I'm off to a good start. Then I also got a phone call where I had to give more info.
Then came the waiting. Two weeks later (today) a dongle arrives. I plug it into my Windows VM, download their certificate management software, login with the password they emailed me, and accessed my certificate.
Then it's a one line command (which they provided in the email) to codesign my binary.
So I'm quite happy, except for the expense and waiting. The process was very easy for me. If you don't have a registered business and D.U.N.S number then it will be more difficult for you.