Of course. Your thinking co-location. But it is normally more expensive than just renting a server since you only want to put in one. I would figure the costs for you to build a server, and then co-locate it on a connection you want, then come here and asks for some quotes on a server of the same type. Since hosts like us buy servers in bulk, I think you'll find we can get you better prices than co-location can. (When i say we I mean all of FWS, no just my company).
EDIT: I know Host-Frog does Colocation. Maby Craig (hosting Department) and I believe RTG and Dlerox do as well. Thats all I can come up with off the top of my head.