On colocated servers you can install anything you like, as it's your hardware. And it's generally much cheaper than dedicated servers (at the cost of buying your own server).
Decent co-lo space is notoriously expensive. Its just that you have control over the hardware and can do things like upgrade the memory, CPU, etc for the mere cost of the hardware, instead of paying 10 times its value (the markup on upgrades for hosted hardware is usually immense).
Why would you want control? Well, as a friend put it, "I can buy $10,000 servers and know I've got battery-backed RAID5 that will NOT lose data even with a write-back cache, instead of the cheap-ass RAID5 cards hosted servers come with".