Really its up to you. lol...does that help :P
Hosting your own blog can give you a wider choice of templates and options on modifying your blog.
A hosted blog would be quicker to setup. If money is not an issue i would suggest hosting your own. Another factor depends on the blog content. if it becomes popular i would rather go to a URL domain.com rather than, myblog.blogprovider.com.
but i recently found that Wordpress have an option to register domains or something that loads your blog to the domain....i didn't really look into it, there is something on WP control panel,
Hope that helps
