The biggest question is will they sell the ad space for you and allow you to serve the ads yourself? Even still, this only reduces your serving costs while you still would be paying the commission, which to me seems like the higher of the two costs.
To answer your question about handling the serving of ads yourself, there are several options out there. Probably one of the best known for a managed solution is OpenX (http://openx.com). On the other hand there is Revive Adserver (http://revive-adserver.com) which is self-hosted and is actually the open source version of OpenX.
One caveat of running your own server though will be that you are responsible for your own inventory on the site. You can always fill any remaining inventory with Google Adsense or similar though. Long-story short, I would say unless you have substantial traffic to your site and are making significant money through ads on your site it is most likely not worth the hassle. If, on the other hand, your site has high enough traffic and your current ads are well targeted and have a high action rate for the advertiser you may be able to start selling your own ad space or find a better ad provider with better terms.