Third party implementation for blogging like blogger.com has one advantage - you are up within a matter of minutes and has the drawback - Your blog looks the same as a few thousand others except for the content.

If you set up your own blogging in your server - you get to tweak the software for maximum visibility. You can install any mods which will fit in with your scheme of things. In short - if you know what you are doing - you can get the maximum out of your blogging - if you run yours.