I have my own domain name (
http://leifwright.com), on which I blog using a CMS I wrote myself.
The advantages are multiple: I can control all the content, plus I control the database, plus, I can change what I want when I want. There are downsides: WordPress and the other platforms include communities and whatnot.
Ultimately, however, my CMS (IneffablePress) works for me, and enables me to do everything I want to do. I even write my novels in the same CMS, which allows me to author from my computer, my iPad, my iPhone.