Normally I don't do too much fiddling with my servers, but in the last 3 weeks I've set up 3 servers from scratch. Installing an OS, adding web hosting packages, the full bit. It was a little annoying, and setting up each server from scratch took most of 1 day to do, but the end result is a beautiful, comfortable server environment where I can get a lot of work done.
Managed hosting is great if you don't have technical skills to set up a server (setting up a server is as hard as it sounds though) or if you're wanting to pay somebody else to look after things like updates for you, but it usually means you have less access to fix things when they go wrong too.
If you're unsure about setting up your own web server, read through these guides to see the steps required. If you can type a few commands to install things, and edit a few text files, that's about all you need!
I followed these guides for a Linode server and a non-Linode server, so the same instructions are good for all web servers, just replace 'Linode' in the articles with whatever provider you are working with :D