There is almost certainly a difference in cost, and it boils down to economies of scale. Do you have the budget to keep a couple of systems administrators and folks with network savvy on your payroll to handle the inevitable issues which will crop up, plus regular maintenance and new deployments?
If you only hire one guy, what is your risk plan for when he gets hit by a bus, or takes a holiday somewhere without any phone coverage? Or both? How does the business continue to function if that coincides with the server room catching fire? ;-)
With a managed hosting outfit you are paying a small premium over 'unmanaged' hosting, however they're going to provide you with a Service Level Agreement and their entire organization will be structured to doing the "hosting thing" as a service. Versus the cost of self-hosting don't forget to look at both CapEx and OpEx - costs get scary, real quick.
If you self host, where will you put the servers? There is a big difference between a 'server room' in an office and your typical datacentre, just thinking about the redundancy. Most offices don't have n+1 power and cooling for a start :-)
For "small" scale hosting (under 40 servers, under 2 racks) then I'd very seriously recommend going to talk to someone like Rackspace about how much they'd charge to make it happen -- larger businesses also go this route because their core focus simply isn't running a big IT operation, they want it to "Just Work (TM)" and have no headaches.
If you're a little larger then feel free to be flexible. Just don't skimp or you'll seriously regret it one Christmas when everything implodes and you're left carrying the can.