trouble is doing that can be more pricy.. granted better tech support and if something goes wrong it is usually part of the package to fix, however building your own server means two things "rackspace" and "hardware" when building you can skimp or go 100% top of the range and EVERYTHING is yours no one elses, lve see hosting company that add hardware and suddenly your monthly bill goes up until eventually you wonder why they changed you a few grand just for RAM (if you intend to host long enough for that kinda bill to rack up)
still its worth mentioning there is two things dedicated means "leased" or "own" leased servers lve found are often refurbished and owned can be built to spec the term for this kind of hosting is called "co-location" where you rent rack space (sizes 1u 2u 3u 4u to my knowledge 4u being the closest to a normal PC tower) and a port (basically the link to the internet, which maybe offered as 10meg, 100meg, or gigabit connection)