I plan to have the arduino act as the client and the web site as the server. I think it's much easier for the arduino to make requests through my firewall at home than to try and setup some type of static IP or sandbox or whatever would be needed for the arduino to act as a web server. This also makes it easy to develop a web site that can handle communicating with many arduinos at the same time and everything is in one central location.
You can easily create a development web server on your home computer and worry about getting web hosting once things are ready to deploy.
I use Sun's VirtualBox to run a Linux VM on my desktop that is configured as a web server (actually haven't setup to run django yet).