It depends...
I'd ask how large the data set you'll need to get is, how often you'll be accessing it (will you need to be referencing it often like you might do through a linked server connection or could it be a regularly scheduled pull/import?), and what kind of security you need on it. I'm never a fan of having database servers exposed to the public internet so you might have to consider risk of exposure.
Elaborate on the setup you've got.