My own server?

If you would like to host your form's resources in your own server, that is possible by using the form's full source code. Here's a guide about it: https://www.jotform.com/help/104-How-to-get-the-Full-Source-Code-of-your-Form 

Please note that submissions will still be saved in our servers, you can edit the source code but we cannot guarantee that it will work 100% especially if you have made complex changes. Note also that changes made on the form builder will not reflect on the form embedded using the full source code, you need to get a fresh copy of the source code and re-embed it on your website or server.

I hope that helps.

can I save the data entered in the form to my own server?

Yes you can, you can either save your data on your server's database using the POST method. Here's an example guide about it, this uses PHP and MySQL: https://www.jotform.com/help/126-How-to-send-Submissions-to-Your-MySQL-Database-Using-PHP 

You can also integrate your form to your FTP server, if you want the data to be submitted also there: https://www.jotform.com/help/177-How-to-enable-FTP-on-form-submissions 

There are also other app integrations that we have where you can easily send submission data to your 3rd party cloud storage accounts: https://apps.jotform.com/category/file_sharing_and_storage 

You can also use our API to integrate your form and submission data to your own system. Here's our API documentation: http://api.jotform.com/ 

Let us know if you have further questions.