I saw Matt Palmer's post in planet.debian.org the other day, and I was immediately reminded of it today:
Basically, if my data is stored somewhere else, I'm restricted to whatever method the gatekeeper of that data deigns to give me.Even though Remember the Milk publishes iCal and Atom feeds of your data, your data is still bound up in their servers.
I host my website on my DSL line. I'm fortunate to be using Speakeasy for my DSL service: they specifically encourage subscribers to run their own servers, unlike most other DSL and cable providers. I'm paying X number of dollars every month for the convenience of an always-on connection. Since I'm paying for it, it makes sense to me to consolidate a lot of my data onto a server connected to that always-on connection. I know where it is; I know how to get to it (and can get to it in a variety of ways); and I can do whatever I want or need to do with that data. I don't have to worry about a service evaporating overnight, or a change in the terms of service, or whether I'll be able to access my data in a year.
Sure, managing my own server requires some non-trivial investments of time and effort. It's my data; it's worth it.