To start off, you might want to look at Virtual Dedicated Servers aka Virtual Private Servers. They are inexpensive compared to dedicated servers, but more secure than virtual hosts (assuming you don't do something dumb). Typically you will get root access, basic webserver apps preinstalled, and the ability to install your own apps. Like others have said, the hosting company will have access, but you will have better control than with virtual hosts like Yahoo etc.
Update: added links
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One problem you'll run into on many shared hosting plans is ulimits. It's not just that they'll get upset and cancel your account for using 1 GB of RAM. It's that a single Apache process might not be allowed more than, for example, 128 MB.
As for specifically Yahoo, I wouldn't know anything about hosting with them. I've never used them nor seriously considered using them for hosting. I have had an email account there since about 1994 or 1995, but I've never used them for anything business-related (besides the odd chance that I'd use their IM system to contact a business associate).
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