See also my Speeding up your WordPress site post
Well, I got tired of the limitations in the hosted version of WordPress (i.e., WordPress.com) and decided to host a WordPress blog myself. Since you can export a blog, it was pretty easy to migrate most of my blog, but there were a few gotchas.
First, your theme may not be available. For me, I was able to find the theme and upload to my new WordPress site, but it wasn’t exactly the same and I just gave up and switch to a different one.
The second issue was that when I imported the data file, I kept getting errors like the following:
Failed to import “John Smith – 2010-12-26 05:43:27”: Invalid post type feedback
I eventually determine it was because the WordPress.com site includes a contact form plug-in automatically. On the new site, you have to install it. Well, it turns out that it’s part of something called Jetpack which I believe is a bundle of basic plugins you can install. It comes from the WordPress folks so it is a standard of sorts. My new WordPress blog automatically suggested that it be installed. One of the things it does is add a Feedbacks item on the main settings page. That’s the tip off that you’ve got the right plugin.
Once I had Jetpack installed and activated, I re-imported the data and the errors went away. It is important to note that you can re-import and WordPress will ignore anything already imported. Nice!
If you added widgets to your old site’s theme, you may also find that they don’t exist in the new one. Again, this is due to plugins being already there in the WordPress.com site and not the new one. You’ll need to search for them, install and activate them.
I’m kinda glossing over the details of what I had to do, but this should give you a head start if you find issues migrating your site. All in all, it was pretty easy and I’m excited about the greater functionality of my new site. Also considering I was paying $30/yr to customize my site and $13 to redirect my domain name, the $4/mo I’m having to pay on HotpointDomains.com for my WordPress site isn’t that much more expensive.
UPDATE 2012-06-04:
One BIG bummer is that your stats will start all over :-( Seems to be no way to migrate those.
If you had a domain name redirected to the WP.com site, set Permalinks to Day and name (e.g., http://SeriouslyTrivial.com/2012/06/04/sample-post/). This is the way the WP.com sets up links to particular posts. This way search engines can still find the posts on the new site. It’s under Settings > Permalinks.