I assume you're taking about email service providers as you are comparing that to using your own server?
I use a self hosted solution (sendy) which leverages Amazon SES for robust infrastructure. I also have a 10,000 free daily quota which is awesome... Just do the maths and compare it to the main email providers and you'll see its x100 or more cheaper!!!
Further the performance on delivery is better in my opinion, noting that you have to setup DKIM on your webserver which is linked to Amazon SES and then you are ready to rock and roll...
As you can see the set-up I have is a hybrid of the two (own server vs. service provider)... The emails are actually directed to Amazon whom in turn sends out the emails hence you get the benefit of their infrastructure etc...
So my recommendation is a hybrid between the two... You get the benefits of robust infrastructure which can allow you to email tens of thousands of people whilst keeping costs down...
One of the advantages of email marketing is that it permits you to segment your list based on any demographic, interest or behavioral information you may have gathered on your clients. Most email administration suppliers nowadays permit you to effectively section your subscriber list so that you can send reports on new dresses to your female clients or weekend specials to your west side clients just.
The advantages I find the most significant are those:
1) you will reduce your time spent on marketing and less effort will be required.
2) All of those will be a real time messages
3) Those messages will be personalized
4) easier to reach the sehÅ¾gment you are targeting
5) more frequent communications
If you mean using email marketing services like 'Get Response' or 'AWebber', I'll say the following features are the benefits:
1. You have access to templates to build opt in forms and squeeze pages. That is if you do not have a plugin to do so, because squeeze pages plugins give you more options and flexibility than what marketing services generally offer.
2. You can also get newsletter and email templates that gives a more professional look.
3. You have a choice of sending emails and newsletters in HTML format - again having a more professional look.
4. Recently 'Get Response' is offering a free list building training program presented by Pam Neely, which I think is a huge benefit.