It sounds easy at first... get a couple of servers, an ethernet switch, and a $500 T-1 (or...shudder...a DSL line), and you're up and running... not. Well, you could, and people do, but it's a bad idea.
Redundancy is important to a lot of people. Want to spring for two T1's from different providers? How about an electrical generator? (Bet your neighbors are going to love the noise if you ever need to use it.) Need power conditioning? Got data backup?
Assume that stuff is going to break. Even if it's under warranty, replacement will take a while, so you'll need to keep spare power supplies, NIC's, hard drives, and memory around. A spare hub/switch/router is a really good idea, as are CPU's/fans/heatskins and even motherboards, if you're paranoid.
If you're going to host rackmountable machines, you're going to want a rack, and good ones are over $1,000 each... without niceties like shelves, rackmountable power strips, doors, and the like....
And that's barely scratching the surface.
Until you're taking about several dozen servers, it's easier and cheaper to rent dedicated ones or colocate your own somewhere.
That's just my take, though.