I chose to buy my own boxes and colo because of too much pain with hosting companies. One client that I support recently had a server compromised but as it was a leased box (not managed by them) they would not let us near it to rebuild! They also did not offer to do anything to actually help us get the services back up and running. They had no interest in the fact that the server was down. That company has now lost that client, who is now going to buy his own boxes and colo with me managing them.
Cheers Ali Dragon