Here's my (unbiased, hah) opinion on the pros and cons of having your own blog site vs doing it on crazyguyonabike:

Crazyguyonabike:
+ Built-in audience interested in bicycle touring
+ Journals read naturally in sequence, rather than latest-first as most blogs
+ You can update the journal via email
+ You can download the journal in ISO format for burning to CD, or in static file format for browsing on your computer
+ You don't have to set up your own domain
+ Crazyguyonabike is already highly ranked on Google, so your journal is likely to be found
+ Website uses basic HTML and is fast on old computers and slow connections, and has options aimed at small screens
+ You have a programmer who runs the thing and is approachable if you have ideas for improvement
+ Journals won't disappear after a while if you go away
- The guy who runs it has his own ideas about what is appropriate, which rubs some people the wrong way at times
- It's run by one person, so if he gets run over by the proverbial bus then who takes over?
- Neil Gunton, the guy who runs it, is anti-religion, which is a huge negative for some people (that's a fact)
- Your journal risks getting lost amongst the crowd of other journals, i.e. you're one of many
- You don't have the same freedom to make your journal look how you want; you have to adhere to the template
- Promoting your own charities is discouraged (you can do it, but not on every page of the journal)
- You can't embed youtube videos (currently - I'll be doing that in future)
- You can't integrate other services like twitter and facebook quite as seamlessly as you could on your own site
- The guy just refuses to get with the times and write an iPhone app already

Blog:
+ You have your own website, possibly on your own domain, which gives you total freedom
+ You have the freedom to choose software that allows for integration of whatever features/services you want to have
+ You have complete control over your own work, i.e. Neil can't tell you to take it down because you love Jesus
+ You might feel more comfortable on a site run by a large company rather than just one guy
+ No sense of lingering guilt that you didn't donate - the blog site is either your own deal or else it's run by a company like Google who doesn't need your handouts
+ Possibly easier and more "up to date" interface for some people who have already used a blog and know the features
+ Possibly just generally more advanced "look and feel" than crazyguyonabike, which has a distinct "the 1990's called and they want their website design back" kind of vibe to it
- Most blogs are shown "latest first", so it can be difficult to get an overview or read in chronological sequence
- Most blog software is not designed around bicycle touring, so you lose some of the features of crazyguyonabike
- Your site is now just another website out there, which is less likely to be read by people looking for bicycle tour journals
- If you get your own domain, then you have to pay for that every year for the rest of your life, or else it will disappear
- Your blog will have ads on it, probably, unless you pay a fee, and if you don't update every so often or stay paid up then it could just disappear eventually due to inactivity
- Big companies can go away as well as little guys - remember geocities?

Maybe I missed some, that's just off the top of my head... there are real reasons for and against hosting a journal on crazyguyonabike, for sure. I won't get offended if someone sets up their own site, but I do honestly feel that often these sites end up more cluttered and not as easy to navigate or read as crazyguyonabike. Feel free to ask me if you have any questions...

Neil