Years ago, before large hosting companies dominated the internet, people hosted their own web servers. While it's not as common any more, it's still easy to do, and, when done properly, is more secure than storing your information on someone else's servers. Here's how to set up a basic LAMP server on Ubuntu 14.04 LTS.
Ubuntu: http://www.ubuntu.com/ phpMyAdmin: http://www.phpmyadmin.net/home_page/index.php