I have VPS on a dedicated server lol.
The big advantage with VPS is that you can easily move them to different boxes and the server is essentially just a file, makes it easier to do complate backups as well.
There is a small performance overhead compared to dedicated servers, and more flexibility than shared hosting i.e. you can install whatever you like.
Capacity and availabity will be lower than enterprise class shared hosting i.e. fully redundant with no single points of failure. Dual firewalls, load-balancers, multiple internet connections, redundant hardware with firewalls dual nics etc etc.
Security will be lower too as they are often just on the Net with no firewalls, intrusion detection or prevention systems.
When I say Enterprise class shared hosting I am talking about one and one for example, not someone who has bought a dedicated server and set up a hosting company. These companies are now offering VPS too, not sure what infrastructure they put them on.
A major thing to look out for is the contention ration i.e. the number of VPS per box and what is the spec of the box. Many do not give this info freely and if they are on enterprise class kit like 8-way quad like this
Unisys | High End Enterprise Servers | IT Infrastructure Solutions it will be even harder.
I hope this helps
Tony