We've had a colo box for over 2 years now and it still runs like a dream, Killercreation were kinda enough to help out get it moved from one building to another in the Blue Square Data Center, Maidenhead and host it in their racks, we had issues with the previous GSP who actually rented their space of KC, so they were just a middle man, really.
The only ever issue we have had with it was the HDD failure, spare was sent up and Justin from Killercreation was kind enough to fit and rebuild OS server for us.
Win 2003 Server purchased
TCAdmin license was purchased, but you could use something like Fire Daemon to run all of your games as services
TS3 non-profiting license was also obtained
RD via VNC to config the server
No probs running various game servers like battlefield, cod's, steam etc
With regards to actually getting a box, it wouldn't cost that much to build your own and drive it up to maidenhead, if KC will have you that is.
One thing to note there isn't much money in colo for the host, so expect to pay a little bit more than usually, but no way near what you would pay if you rented a box
if u need any more help just pm