I say this a lot, but running your own VPN service loses almost all the privacy. This is something people don't bring up when they recommend doing it.

With a paid VPN service, part of the attraction is that you're one of quite a few users on any given server at any given time.

Edit: If your only goal is to get past stuff that's blocked, that's different. Though if you get a VPS, you're still using an IP in a range that's likely to be blocked if a service doesn't want VPN traffic.