I looked into this and the reason I never moved forward with it was my lack of technical expertise. Well... that and the cost.
Most companies that rent servers to you only manage certain things. Like, they WILL make sure that you server is physically working, and will replace any bad equipment as necessary. But if you decide to install a new program, and something goes wrong, then you need to pay an expert to fix it.
So, for me, the upside of having more freedom to do what I wanted did not outweigh the downside, which was my lack of expertise and the potential costs I might incur if I screwed something up.
I *DO* have several VPS's, but that is different.
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