I run ColdFusion on virtual servers every day. No issues whatsoever as long as the VM has enough resources. For example, I wouldn't run it in a VPS with anything less then 512MB. You Can run the open-source CFML engines (Railo, OpenBD) on smaller VM's, but 512 keeps things comfortable.
ColdFusion runs on top of Java, so if you can get Sun's (Oracle's) JRE working in an environment, things that run on it can run there too.