I always find that there is one thing we forget about help forums
 - most of the questions come from people having problems -
not from those who are not having problems.

And if you look in a forum titled DNN Install It - thats where most
of those install problems are going to be raised.

DNN its a complex system as yes it can take a bit of work to
get running on different platforms ... but to put things in perspective -
the DNN website had over half a million users last time I look - with
many of those poeple having installed multiple sites.

Contrast that to the number of posts looking for help - less than 10,000 threads
since 2006 - so maybe its not quote the horror story you may have originally percieved.

But regardless ... To try and help with your question.

"Why would people want to install it themselves - what compelling reasons are there"

First off - many poeple who try DNN for the first time tend to do so on LOCAL
computers - to see if its right for them. In many cases the thought of LIVE hosting
may not have even been considered yet.

Others, want to work with the CODE in some way - whether to understand the core or
to expand on the framework thru skins, skin objects, modules, provider services.

In all of the cases the externally hosted DNN site is not really a useful starting point.
Now dont get me wrong - hosted DNN is a great way to run your LIVE sites.

Yet ironically - it is the process of hosting locally that can be sometimes the most challenging.

Most computer systems are not really setup for web hosting out of the box.
Your standard xp installation isnt web ready out of the box.
So the steps you need to go thru to get a DNN test site up and running 
can be a bit time consuming first time round.

At the other end of the scale a hosting company - who want to host another DNN portal -
only really needs to run an INSTALL script that they configured ONCE some time ago
and a new portal can be up and running in minutes.

Westa