I’ve been doing a lot of work with the self hosted version of wordpress (download from wordpress.org) and am now seriously thinking of moving this blog over to it on shared hosting.
The self hosted version gives you a lot more control over the theme and plugins etc.
So if you’re interested in making the move, this video will be of great help in getting the content back to what it looked like in wordpress.com (i.e. it tells you what plugins to use – very important).
Other useful information can be found here: HOW TO: Transfer Your Blog From WordPress.com to WordPress.org [VIDEO]