In the first week of our 2012 MFADT Web 3 class the students went from GoDaddy to running their own lil web server. Is it perfect? No. Are they experts? Of course not. But at least they have a sandbox to install whatever server stack they want.
I figure there sharing this will be helpful to others. If you've never heard of AWS or just want a little more control over your web hosting beyond what the GoDaddys of the world offer, this tutorial should be a great starting point.