If your hosting company is smart, they'll chroot customer's shell login. Chroot can be defeated if the user has shell access (which is difficult in most chroot environments, since it's hard to get at a shell in the first place) and possibly under other conditions, but it's better than nothing.

Also, if you want your own coloc box, get yourself hooked up with people in your area who'd also like their own server. Perl Mongers groups and LUGs are good places to find people. You can chip in on a business-class DSL or cable modem (something you can run a server on without the ISP coming down on you). Split three or four ways, you should be able to do it for $25 a month in the US (not sure about other countries, sorry)--about the same as a regular hosting provider. Find some old machines to run servers on (for a low traffic site, P100s are fine), and be sure that someone in the group has enough know-how to get a firewall up.

Most DSL/Cable modem ISPs give a lot more download speed than upload, even on buisness-class lines. The person who's house is storing all the servers should be willing to cover the cost of electricity, etc. for the extra downstream bandwidth they're given.

Then go to the hosting person's house with a camera, get your site posted on Slashdot, and take pictures as your server bursts into smoke :)