Carlos,
I share your frustration here, as I am in the process of moving a wordpress.com blog to our own self managed wordpress domain.
WordPress.com is the best free offering around, but after spending time building a reputation within the blogosphere and being indexed by all the major indexing engines, it is a shame that Automattic do not offer the ability to redirect a wordpress.com blog to any domain name.
This is a service which I would be willing to pay say $10 a year for - so it is money that Automattic are leaving on the table, money which would greatly help them continue offering wordpress.com.
Technically this is not an issue, since they should be able to trap any reference to say http://blog.wordpress.com and redirect to http://myblogisherenow.com via:
<?php
Header( "HTTP/1.1 301 Moved Permanently" );
Header( "Location: http://myblogisherenow.com" );
?>
As to whether this would generically map all blog URLs to the new domain, I do not know.
If not, then they can be done on a URL by URL basis, for example, a request for http://blog.wordpress.com/2007/12/25/merry-xmas/ can be redirected by:
<?php
Header( "HTTP/1.1 301 Moved Permanently" );
Header( "Location: http://myblogisherenow.com/2007/12/25/merry-xmas" );
?>
Since exporting and importing bog data will preserve the URL structure.
Maybe something for Matt to whip up when he has a bit of spare time.
Hopefully the internal plumbing within WordPress do not prevent a major rewrite to accomodate this.
Also, if this will never ever be offered, the information within Domains tab within Options should explicitly state that redirecting a wordpress.com blog to another domain is not supported - will save a lot of time.