If you want to modify things that require you to get into the theme PHP script files, then yes. You need a good working knowledge of PHP scripting and especially in regard to security issues as it is quite easy to open up big security holes if you are not.
You have to install and configure the software, you are responsible for all security, all updates, all backups, and all troubleshooting. If you add a plugin or a theme that breaks your blog, then you have to figure out why and fix it. If you install some flash or javascript that has security issues and someone uses those security holes to hack your blog you are responsible.
If you go self-hosted, be very careful about where you get plugins and themes, and about what javascript or flash stuff you install. There is an increasing number of plugins, themes and javascript/flash widget codes out there that purposely have malware or security holes built right into them.
Caveat Emptor (let the buyer beware).