You have to weight the pros and cons. Hosting yourself, means you have to get a proper location with power, internet connection, ect. You have to get and pay for this anonymously. You do have a greater control over it.
If it's colocated, you only have one type of payment to do, and I'm fairly sure it's easier to be anonymous. You have less control over this location, and have to worry about their logging of access and the like.