Recently we benchmarked a dedicated GoDaddy server against an Amazon EC2 instance and $ for $ the GoDaddy server was about 30% faster.  Here are some stats:
Godaddy Dedicated Server
2 GB memory
Processor: Intel Core 2 Duo – 2.13 GHz
32-bit platform
Raid: None
$146 per month
UPDATETEXT … – Took 116ms
SLIDEHANDLER3 … – Took 2722ms
Amazon EC2: High-CPU Medium Instance
1.7 GB memory
5 EC2 Compute Units (2 virtual core with 2.5 EC2 Compute Unit each)
32-bit platform
I/O Performance: Moderate
Instance Type name: c1.medium (used in EC2 APIs)
Price: $0.20 per instance hour
$144 per month
UPDATETEXT … – Took 144ms
SLIDEHANDLER3 … – Took 3525ms
Conclusion: So unless you need proximity to Amazon S3, scalability, … you are better off with a dedicated server than an instance in the cloud.