Dedicated server is your own server which is act as your computer on which you can host the multiple sites, install applications and related services on it. You can built your own security alters and firewall on the dedicated server. You will have your own set of bandwidth, hard-disk and resources. You can rent the disk space, bandwidth, resources on the dedicated server.
You will have the root access of the server as it's your own server.
As it's your own server, you can manage it in your own ways. You can install anything which you would like to install. You can decide the security polices as per requirements. As it's dedicated server, you will have the full access to all the resources, bandwidth and all other things. You can run the heavy applications easily on the dedicated server.
You can update the applications as per you need. You can stop the services when you would like. It's dedicated to you.