Why? Just because of the look? Because you can skin some external carts to look exactly like you own, so that customers never know they've technically left the site for a while.
Hosting the cart yourself is a lot more responsibility, and you have to deal with SSL etc. To host the cart yourself you usually need CMSs like ZenCart, which you don't want.
here is a PERFECT example of what I'm looking for.
Incidentally, I couldn't view that site, because a dirty, ugly popup got in the way that I couldn't get rid of. Ewww.