<font color="blue"> Personally, I prefer to own from the beginning so I can pick and choose who I want to fill the tank based on price. </font>
This is excellent advice. Around here, you can get an underground tank supplied essentially for free, although you have to pay for the hole to be dug and refilled, unless you have your own backhoe. However, the catch is that they retain ownership of the tank. What that means is, no one else but the gas company that supplied the tank can fill it. It's a state law in Florida, and most likely everywhere else, that no gas company can refill another company's tanks. You can understand why; if you don't pay your bill, they don't want you to have an easy way to get gas somewhere else.
If you own your own tank, as was said above, you can get gas from anyone, and can shop for the best price. However, there may be a downside to that -- unless you have a contract with the gas company, they may not give you as reliable service as they do for people who are tied to them.
If you do end up owning your tank and shop around for gas, be sure to get a bill of sale for the tank, and keep a copy handy, to prove your ownership.
Don't worry about the tank underground -- it's done all the time and is safer than a tank above ground.