you can use Tools/Export to export [wordpress.com] content in xml format (and your media files in a .tar archive).
you can use Tools/Import to import [wordpress.com] the xml content on the new site.
you can do a "sitewide redirect" [wordpress.com] from your example.wordpress.com urls to your new hostname (and subdirectory if necessary)

other than the redirect limitations (i.e., no changes in site structure) it should be similar to migrating any other wordpress site to a new domain and hosting.

Thanks phranque, i'll investigate those options. I was also thinking we might be able to run a backup program, and then restore to the new domain.

I am not familiar with WordPress.com, I know it has been around forever and that they make ease of migration a feature point and I would assume they have clear instructions at the .com site. Their reason for being is to give people a way to learn and try using WP to then move out to a hosted domain of their own. Because I haven't used it I can't help much about where to find it, but generally you should be able to zip the root folder with the entire structure and move it that way, understanding that it requires a .sql file set up to match the settings in the wp-config.php file.

Moving to a new host is a great time to add on table prefixes to replace the wp- default tables prefix. Not a padlock, but it means requests for "wp-" table contents from malicious scripts can't get a 200 response.