Most VPS hosts only offer servers running Linux-based operating systems; you'll need to dig a bit to find Windows-based VPS hosting. This is important to note if you're planning on running software that requires a Microsoft-compatible environment. That said, Linux-based VPS hosting will save you a few bucks; Linux servers usually cost $10 to $20 less than Windows servers.
You also want a web host with 24/7 customer support—if not by phone, then at least by chat. Forums, knowledge bases, and help tickets are all well and good, but sometimes you just need to communicate with another human to get things ironed out as quickly as possible. That said, not all 24/7 customer support teams are equal. Companies like GoDaddy and Liquid Web boast incredibly knowledgeable and helpful customer support squads—a fact that we confirmed in our in-depth reviews of those web hosting services.
You could think of the sites that share your server as your roommates; there's really not that much separating you from them. Sure, you can close the bedroom door, but they can still cause nightmares for you in the kitchen and the bathroom. In web hosting terms, all the sites share a single server's resources, so huge traffic spike on Site A may impact the neighboring sites' performances. It's even possible that another site could take down the shared server altogether, if it crashed hard enough.
You gain the most web-building functionality if you create a self-hosted site. This typically involves transfering the free WordPress CMS to server or signing up for a web host's optimized WordPress plan. With an optimized plan, the host automatically handles backend stuff, so you don't have to worry about updating the plug-ins and CMS, and enabling automatic backups. In these instances, the WordPress environment typically comes pre-installed on the server.