If the technical requirements of running the server require applications that are not supported by the provider or more control over the configuration and use of the server is needed, unmanaged colocation is typically the best choice. This is very different from the managed services. Customers are required to provide their own hardware and manage all of the hardware and software on their own. This allows for much greater flexibility in what can be done but has the drawback of more work by the customer.
Of course, as a customer you are still bound to the service agreements of the provider. Most colocation providers will have clauses that disallow certain things from being hosted on the server. These items typically include pornography or mass e-mail, both of which generate a large amount of network traffic and can cause severe problems for the provider.