It is fairly simple to move a wordpress blog across servers. In fact, I just did that. I gave up on my old host and am now hosting on Rackspace Network. Here is quick checklist:

Move Wordpress Installation

1. Download all the scripts - You can skip a cache folder under the wp-content directory
2. Go to your existing web hosts PHPMyAdmin page to download your Database as a SQL file.
3. Create a new MySQL database with your NEW web host and import this SQL file.
4. Upload your scripts to the new web host
5. Open wp-config.php and modify the database name, hostname, password accordingly
6. Change the DNS at your domain registration service provider, as required
7. That's it!

Most time is consumed in downloading and uploading the files. Everything else is quick. It is really simple to manage and move your wordpress blog if you need to do so. (This is also my test post after moving!)