I hear you on this; it's more or less the rationale I was operating on when my friends and I bought our domain. I had all kinds of problems with the various free options I'd started out on (Geocities, Elfwood).

I think that, if I were to develop a bigger audience (or any audience at all), a domain of my own would probably be a great idea. For right now, though, I'm not even actively seeking one, and the domain feels a bit like an expensive indulgence. There are also free services that I like a lot better, these days. I'll have to consider further.