I set up a masternode on one of the amazon cloud servers. The amazon service was free so I decided to give it a go. Everything went great and I was earning then one of the exchanges the coin was listed at was hacked and all the coins were stolen which was a complete cluster fuck. I got most of the coins from a bounty so I didn't lose anything monetarily but I doubt I would go to the trouble again unless it was for a top 100 coin like Dash.
SetupMasternodes.com can help you set up or host a Masternode so that you don't have to go through all of the trouble.
We support almost every Masternode coin.