You can host it anywhere. Log into your account on godaddy, click on the domain you want to move, scroll down and find “Total DNS Contol and MX Records”. Click on that, update the IP to what ever your new host gives you for an IP. Click save, wait an hour or so for DNS to propagate out to the real world, profit.
You would do the same thing for subdomains. Aka, if you domain is http://www.sellsomeshit.com you can setup http://secure.sellsomeshit.com. Setup the subdomain with godaddy’s retarded wizard, wait about 10 minutes for it to show up in the “Total DNS…” list. Then just update that IP as well.