Unmanaged VPS is cheap nowadays. Sometimes even much cheaper than having a managed shared hosting. Managing your VPS yourself to works exactly how you want it is, however, a different story. A managed VPS will just be an additional financial burden to you.
A VPS functionality out-of-the-box may not be in conformance of your expectations of a VPS. If your VPS serves your WordPress blog, installing the script in your VPS may be a breeze, but if your VPS is not configured properly installing themes and plugins will be a pain, not to mention upgrades.
To make your VPS WordPress friendly, your files should be should have the proper permissions. Normally, in *nix system, the user who creates the files and folders have ownership of the files and folders. When upgrading WordPress or installing themes and plugins, the web server (i.e. apache) need to have write permissions to the WordPress installation folder. Opening the permission to be writable by everyone (i.e 777) is security issue. The permissions should least be 755 for folders and 644 for files.
How would you implement selective chmod to your WordPress installation? This wiki provides the solution to that problem.