Quite a few of my friends ask me why I'm not self-hosting my blog, which has gotten a lot of traffic for its relatively short life (almost at 500,000 hits after about nine months of regular blogging) and the answer is that it would cost me more time and money to self-host it than I would get for ad money. Unless you are getting more than 10,000 unique hits a day, I don't think it's worth it. Eventually if my blog matures to that level, I might think about it, but I don't really want it to become about ads. I do have a Zazzle store and I've made enough money to basically pay for the basic blog costs, like a unique url, but don't expect to make a lot of money from it (Zazzle takes about 90% of the profits, depending on how you set your prices).
I think what people are trying to warn you of is don't go too deep too fast. A lot of people get blog fatigue after a few months or they just get discouraged when they don't see the results they want after years of work, so be careful with what you invest until you see where it takes you. It doesn't hurt to try and if you have the time and money to invest in it now, more power to you, just make sure you manage your expectations.
I'll be really interested to see how your blog develops down the road though, good luck!