The main drawback to operating your own install of wordpress blog software is the upgrading. I hate having to mess with my site when it is working. My wordpress hosted blogs get their upgrade from wordpress. I just wish they would unlock the whole embed thing.
Upgrading is a snap with self-hosted WordPress blogs now. It’s all automated. I haven’t done an upgrade myself (as in downloading the new files, uploading, etc.) since they automated the process. I just back everything up, then log into admin and click to auto upgrade. 🙂 Haven’t had any probs. Love it.