That's like asking how cooking is different from eating out. You do it yourself, you customize all the things, you're independent, it can be cheaper than managed services if you discount your time or even scale it only a little bit, and many people simply enjoy it.

And if something goes wrong, you know who's at fault, who's on call, and who's gonna fix it :D (I host my own mail server among other thing, and it's mostly unattended but still I felt I should nuance the comment a little bit.)