(By the way, this article uses the word “nerdy” in the most positive possible way, as someone full of skill and knowledge!)
If you’re technically skilled with lots of prior knowledge about maintaining servers, you may want to set up your own online services using the manual installation instructions in the services’ official documentation.
Although manual installation involves the most work, it also gives the greatest possible range of software you can install. Not every piece of server software is available through managed hosting or server OSes, but all server software can be manually installed. Doing things manually also gives you the most options for customisation and tweaking of what the software does.
You can usually find the documentation for software on its website and/or on its code forge page. If the documentation is incomplete, there may be contact details for the developers who can answer questions.