Some tutorials out there explain you to move your wordpress from your old hosting to your new hosting,
which has FTP enabled or direct file access to your old hosting.
How about if you don't have access to FTP likes wordpress.com?
That's a new question for me when my friend asked me to move his blog from wordpress.com
And this tutorial will explain it to you how I moved his blog to the new hosting.

REQUIREMENT
1. HTTrack (freeware) or Teleport Pro (payware)
HTTrack: http://www.httrack.com/page/2/en/index.html
Teleport Pro: http://www.tenmax.com/teleport/pro/download.htm
2. Your brain.
3. Snacks and Soft Drinks

1. WinHTTrack Installation.

Since I moved to Windows Hosting, I will use WinHTTrack version which is GUI version for Windows.
Download from http://download.httrack.com/cserv.php3?File=httrack.exe
Run httrack.exe, just follow the instruction, click next, next, next... and install to default location is ok.

2. Run WinHTTrack.

For the first time running, you will be faced with a dialog box to select language and proxy.
If you want to use proxy, enter it, if you dont want to or dont know, just leave it blank and click Cancel.
Click Next, enter the Project name, ex: My Blog. And fill any category name you want.
Fill in to the base path option, where you want to save your downloaded files.
Then click next.
Type url from you wordpress.com blog.
Ex:
http://doniking.wordpress.com
Click next, then Finish.
This will proccess with the download action, it will save all page and images from you wordpress.com blog.
The progress time depends on how big your blog contents.

3. Time to get busy with your new web hosting account.

Install wordpress blog script to your new hosting. Download it from:
http://wordpress.org/latest.zip (for Windows)
http://wordpress.org/latest.tar.gz (for Linux)
If you dont know how to install wordpress, follow this link:
http://codex.wordpress.org/Getting_Started_with_WordPress#Installation
Use any username other than your login name on wordpress.com

4. Back to wordpress.com.

Login to your wordpress.com blog, and export the blog contents by using Export feature (Dashboard -> Manage -> Export)
Restrict author to all, click Download Export File and save it to your computer.
The default file name for this exported file is wordpress.(date).xml

5. Edit wordpress.(date).xml

Edit it, and replace all paths necessary.
I replaced all path from doniking.files.wordpress.com to doniking.com/wp-content/uploads
Note that you need to adjust the files URL to where you copy all downloaded files from WinHTTrack folder to wordpress installation directory. We just need files other than html files which usually located in "doniking.files.wordpress.com" directory or like "doniking.wordpress.com" -> "files" directory

6. Import wordpress.(date).xml

Time to import wordpress.(date).xml to your new wordpress backend.
Login to http://doniking.com/wp-admin, of course, you need to change doniking.com with your own domain, then go to Manage -> Import and choose Wordpress.
Browse to wordpress.(date).xml, click upload file and import.

7. Install your themes and the additional plugins

Yes, you still need to install your favorite prebuild themes, or themes made by you, and the additional plugins to use all features used on wordpress.com
Do Googling, go to forum, or leave your comments below if need any helps.