We try to host most of our clients' websites. We started doing this because we tried using a service that claimed to offer 'custom Joomla hosting' packages. After two days on that service and horrible website load times, the service called us and asked us to move the site off of their server, because it was getting too many visitors for their server to keep up with. We seem to be talking to more people these days who are using diverse hosting providers. Here's some of the issues we're running into with them:

• Email bundling problems. Their hosting provider also provides email. We suggest moving to Google apps for their domain so they can have calendars, sites, really nice email, etc. But the hosting provider won't split up their hosting from email.
• DNS problems. The hosting provider expects all the hosting to be on their machines. When we ask to set up a build site, like build.theirdomain.com that lives on our server, they balk.
• Backup. One would expect this to happen by default, but not so. We recently investigated one ecommerce site that as near as we could tell, had NO backups. We finally got backups running, but the backups filled up the client's disk quota and the client could no longer get email. The very idea of backing up a site to the same disk where the site lives really isn't a backup as far as I'm concerned.
• Old Joomla versions. Whenever a new Joomla version comes out, we run an automatic script to update all our sites. Sites hosted at other generic hosting providers generally are a number of revision levels behind. Why is this important? Because all the recent Joomla patches have corrected security holes. Running an older version of Joomla exposes your site to hackers.

The moral of the story? I guess one gets what one pays for with cheap hosting.