I've debated moving the site to another host for this reason. It would save money (PHP/MySQL hosting is much cheaper than CF/MSSQL) and I could install vBulletin. I've never used PHP before, but every indication is that it's pretty easy if you're coming from other languages like ASP and CF.
However, my current hosting service offers excellent performance and the fastest response time I've even seen (most of my e-mails are answered within minutes, even at really odd hours). ColdFusion is also easy to work with and SQL Server is rock-solid.
Not sure what I'm going to do yet, but I need to decide soon. Gotta start work on the site this weekend.