Letting go of your data - or how I learned to love the MongoHQ and Heroku
kent.posterous.com
kent.posterous.com
I also know the exact limitations of my hosting platform: I know where and when things are backed up. I know who has access to the users' data. I know what kind of redundancy is built-in.
If you want to focus on "building a kick ass application" get yourself a cheap VPS, install Debian or Ubuntu on it, and start coding. Once you get to the point where you are paranoid about your VPS provider disappearing or having downtime, set up a hot standby with a different provider and automatic failover.
Infrastructure issues kick you when you are down.
'The cloud' is still in its infancy, but the goal is to let you sleep soundly at night. Its getting there, but has some distance still to go.
My other issue with the cloud is the vendor lock-in. Google App Engine is pretty cool, but who else provides Big Table support? Amazon's datastore is similarly unique although AWS lets you run MySQL at least. Lastly, I found that it is cheaper to run your own VPSs. The AWS is at least twice as expensive for the same amount of RAM.
I repeat, infrastructure problems will kick you when you least need it.
You have a point about lock in, but there are many cloud providers that just supply hosted versions of open source software (amazon RDS, mongo HQ) so you can still use the cloud, but have the ability to take your data away with you.
Proceed with caution.