Running your own server means that listeners connect to your machine to listen to your stream. With that said, it's not at all difficult to establishing your own Shoutcast or Icecast streaming server. Both provide accessible WinAmp and iTunes compatible streams, with one note: the limiting factor is bandwidth!. Typical residential connections (DSL, Cable) are not equipped with upband quick enough to handle more than two simultaneous listeners.
The difference between upband and downband: how much data you can send at once, from your computer to other computers, and how much data you can receive at once, at your computer from other computers. Typical residential DSL and Cable connections have about 2-4mbps (megabits per second) of downband, while only 128kbps-1mbps of upband. Each listener connection, at a reasonable quality, requires between 70 and 128 kbps of bandwidth.
Example: You have a residential line that offers 1.5mbps of bandwidth (equalling 1,500kbps, or kilobytes per second). You'd like CD-quality audio, so each stream requires 128kbps of bandwidth. Therefore, you can handle between 10 and 11 listeners at maximum.
IceCast streaming server software
WinAmp streaming server software
Fast-Serv technologies offers monthly access to their streaming broadcast servers (one of many; suggest comparing prices and services!)