If you're like most webmasters, you like the ability to be creative without limitation. Having full control over your server offers several advantages :
You can adjust about every parameter in every piece of installed software.
You can run tests to increase overall performance.
If something needs to be ported, installed, upgraded, downgraded or tweaked - you have full access.
No turnaround time on fix it yourself type issues. Example = If a simple DNS change needs to be implemented, you can do it yourself without having to wait 3-5 hours for a managed solution tech to do it.
If something breaks - you get the chance to fix it, and learn more this way.
Yes - I am an advocate for webmasters running their own servers. This is simply because the prices have become so competitive, and with the size of the webmaster support community at large, it's almost impossible for you to fail.
Sitepoint is one fine example. They have some of the friendliest and most knowledgable forumites I've seen. Visit them if you need help - and you'll be surprised at the amount of help you'll receive.
