If you started a blog with hosted version the big plus you find it is easier for installation & configuration and that pretty much just less headache but the biggest disadvantage that comes from such services is that you are using and promoting someone else domain in hosted version. If you go for self host with your own domain name you can be able to develop your own brand and get benefit of your marketing and SEO efforts.

My point; if you are blogging just for keeping touch with your friends, relative and employees, the hosted version is pretty much good idea but if you are developing a blog for creating a brand of your own business it is precise to host yourself. Apart from branding, if you own a domain name and host separately you get much customization options, You can be able to template it just as you want, and add other plug-in functionality of all sorts, link building, ad placement etc which is limited or nonexistent on the hosted versions.