The point of a VPS is that you have a virtual private server. That is, even though you're sharing a box in between other people, you have as much control of your server as you would if you were renting a dedicated server. At the moment, I am running a Tremulous server, Lighttpd/PHP/mySQL/SQLite, postfix/dovecot, a python IRC bot, an IRC client, and other various things. You could run a web server, and an MMORPG server all on one box.
In any case, it's generally smarter to encapsulate your many things on different boxes so that if one program decides to eat up your CPU clock, your other programs are unaffected. However, I do realize we're talking about indie gaming here, so it's not important as it's (much) more expensive.