As long as you create the content then it's owned by you. You can set the privacy settings so that no one can access your blog through a search engine, or you can password protect either the entire blog or go post by post. Anything you put on your blog you can copy and paste it back into a Word / WordPerfect / Notebook file. You can also export your entire blog to your harddrive as an XML file. WordPress has servers all over the United States and your blog would be backed up frequently... there's also an automated backup system for your individual posts as you're creating them. You can also be proactive and save all the material to your harddrive as you create it.
There's really nothing complicated about the process... as long as you're not ripping anyone off, or trying to sell crap or piss anyone off, then you won't have any problems.
Here are a couple of links for you...