With MySpace, Facebook et al, why would I want to go to the trouble of setting up my own site? For starters:
Your own website can be designed exactly as you want it, providing fans and the press with what you what.
You can easily link to any other sites you want.
Any revenue generated from ads goes straight to you, and you are able to decided what, if any, ads you want.
You can set up your own shop, or link to you preferred retail outlet.
Your website can be a 'hub' that links to all your other social networking sites.

