I recently changed my personal website over to WordPress. (I had previously been writing the HTML by hand, which was a pain when I made major updates.) An added benefit of that changeover is that it enabled me to start hosting my blog, Ceteris Non Paribus, on my own server, instead of housing it at WordPress.com.
This transition should look more or less seamless from the perspective of existing blog readers. My old blog, nonparibus.wordpress.com, now redirects to its new home on my website, jasonkerwin.com/nonparibus, and all the old posts are now stored here along with their comments. All my new posts – including this one – should automatically cross-post to the old blog, and therefore should show up for existing subscriptions through RSS, email, etc. To avoid missing posts in the future, however, you might want to update your subscription using the email or RSS subscription widgets on the right, or by using this direct link to the new RSS feed.