Different hosts offer different features/flexibility whilst VPS will ensure it actually works by providing dedicated hardware and software. I have this accoun: 1Gb ram, 2Gb MSSQL, 10Gb disk, 500Gb of useful bandwidth (not choked 'unlimited' bandwidth), my own copy of Server 2003/IIS, and the freedom to install anything I want (I'm considering installing Zope so I can run some Plone portals).
I should have been more clear and stated that whilst even the cheap shared accounts at wh4l offered more flexibility (features) than any of the dedicated DNN hosts, the overloaded servers kept me from making use of it. Try setting permissions on a site containing 20,000 files and see what happens - chances are it will fail because some other site on the same box is trying to do the same thing. Other hosts get around the problem by simply not giving you the tools to do it and instead make you submit support tickets. I haven't got time to wait for someone else to do my work for me so I prefer to have full control.
Unless you're a highly skilled DNN developer, chances are that portal versioning and roll-back will become your primary form of risk-management. On the VPS account I can version backups of large portals (the same 20k files) including the database, in about a minute on the server. Any time I need to do anything risky, I can quickly make a duplicate site and test it on that first.
However, if I were running a single DNN site just for my own site and not for paying clients, then I'd go and get a shared account on one of the DNN hosts like WSS or Powerdnn. They're a heck of a lot snappier than Wh4l at that level.
Declic-Video has a pdf here and has also posted some comments of mine beneath, regarding further not-so-obvious aspects of choosing a host.