Yes, there are two tag search functions built into your blog. One is the Global Tag search, which is what you get when someone clicks on the tag on a particular post: it goes to WordPress's global tag page for that tag, where all of the WordPress.com blogs who've used that tag are listed.
The other is the Local Tag Search, which is what you get when you click on a tag in your sidebar; this takes you to a page that lists only YOUR posts using that tag.
It is perfectly counterintuitive in my opinion to have them set up that way; they should be the opposite way. But both functions are there already.