Can Someone explain blogging

What I mean is the different kinds of blogging there are and the pro and cons of each kind. For example people can blog on sites they do not own, like blogger, facebook, myspace, twitter or wherever else they want....or people can buy their own hosting and domain name and own their own blog. It would seem like people are choosing to blog on sites they don't own more than sites they do own. Why is this? If you choose to be on someone else's site you have to be limited with so many rules and regulations. You are at risk of getting banned or deleted at any moment and lose all your posts and information and hard work and efforts, but if you own your own website then you make the rules, and you don't ever have to worry about getting shut down because of what you say or how you say it. Wouldn't that be the better way to go? Can someone shed some light on the differences and benefits of the different kinds of blogging?