The problem is that you lose all of your search indexing if you just export it and start at your own domain. However, here is a good writeup on the steps to avoid that. It’s pretty simple if you’re willing to spend $10.
Basically, you buy a domain and host it through WordPress.com for a while, and then you setup your own server. Doing it this way, WordPress.com will forward all of the requests to the old site in a way that search engines update their index with the new URL. We’ll see how it works!