Hear! Hear!  I am all for self-hosted WP sites.  You have so much more control.  I've gone ahead and bought a hosting subscription at hostgator.com.  $8/mo for unlimited domains!  And with their Fantastico Deluxe, setting up a WP blog takes mere minutes.  Highly suggested if you're planning on doing alot of blogs.  I have 4 hosted at this site already and they're FAST!

Good luck with the self-hosting Rey!