The advatages to running a testing server for dynamic sites are tremendous.
You can 'upload' your site to the testing server (a folder on your hard drive) and fully test the ASP or PHP pages and any underlying database connections before loading your site up to its home on the web.
If you use FrontPage you can also test your sites taking full advantage of FrontPage Server Extensions since you can install and configure them on your local testing server.
Even for static sites there may still be CGI or PHP feedback form scripts that you need to test prior to upload.
Finally, one important step I should have pointed out initially - security.
Any web server software will 'listen' for traffic so you have to use some common sense (and a firewall) to prevent outside access.
Good luck !