I stayed at home last year in my first year. The reason I stayed at home was because I lived within walking distance of my uni, even closer then some of the halls of residence. I saved a ton of money (no paying for rent, groceries, etc...). I also don't know if I could have coped being on as tight a budget as I would have been had I moved in to halls, after Iooking at the weekly rent, b/c I do eat a lot of food:P
Do I feel like I missed out? Yes I do. I didn't make many friends, even in freshers week I didn't do too much. But this was really down to my personality really, since I didn't drink at the time. As much as I hate to admit, when I eventually started drinking toward the end of the year, I did go out a bit more and enjoyed myself more, so it's not fair to just blame it on me staying at home.
That being said, I am moving out in to a house share this coming semester, and I'm actually able to pay for the whole year's rent out of my maintenance loan from last year because I didn't spend much of it, and I have my maintenance loan from this year too, and I have a job, so money isn't really an issue. I might even enjoy myself more than all the other second years, since they have only this year's maintenance loan to pay for things.
The reason I'm moving out is because 1. I can easily afford to, and 2. my sister did the same, and she said it was good because it gives you a taste of independent living in the real world that can come in handy later in life, and like you said OP, you have to move out sometime. Also, some people worry about other people they will live with, in case they have bad habits and stuff, but then my parents have plenty bad habits that get on my nerves, just that I'm used to them. No matter who you live with, you'll have to put up with little annoyances.
At the end of the day there are pros and cons to living at home. If I could do first year again, I probably would still stay at home, but just try to be a bit more out going. Then again, some people have to get up at 5 every morning just to get the train to uni because they live so far away. In that case, I would probably go a head and move out.