I ran an adult site about 6 years ago, its cheaper over the long run to buy your own box and bandwidth, however its so much easier to rent, plus you *usually* don't have to worry about security issues amd such.

Unix or Linux box is the safest way to go, however you need to consider what type of programs (bb board, streaming video types..)

The biggest problem you will have is with Credit cards and fraud, also every tom dick and harry is running a site so you really need to have something special to set yourself apart, otherwise its a waste of resources.