Security in shared hosting vs VPS 'virtual appliances'

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http://serverfault.com – I have to change my hosting provider. Right now I have a shared hosting account but I'm considering trying the LAMP stack appliance from turnkeylinux.org. I'm very comfortable with using linux, I've been using it for a long time. I have no problem ssh'ing into remote machines and do whatever I have to do (coding, reading logs, moving files, deploying, etc). The problem is that none of those tasks have involved securing the server/firewall. My experience has been as a desktop user or developer deploying apps/files in remote servers. Ignoring the security in the application logic (read: any (HowTos)