My VPS has given me the chance to experiment with new server software. I started on the usual apache2+mod_php setup, but now I have nginx+php_fpmnginx+php-fpm with a proxy back to some legacy apache2+mod_php sites. I'm also running (and tuning) APC, memcached, and mysqld.
If you're just going to run a few sites, and performance is good on your shared host, I would stay put. If you're going to excercise your right to root, a VPS is a great economical way to try new things.