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If you're wanting to serve xyz.yourdomain.com as the blogs, you'll need to ask the host whether they support wildcard vhosts as well as wildcard DNS. Aside from this, as long as the host can run ordinary Wordpress you'll be fine.
That's not true of all shared hosts. Typically the issue is the wildcard vhost entry, rather than the wildcard DNS - but there are shared hosts that can provide both.
If you pay £100 a year for your hosting, you can't , if you pay £300 a year or £500 you'd be amazed what your host can do for you
As a point of interest, Evohosting as just added wordpress mu to their auto installer, so it can be installed and up and running within about 2 minutes