@auxclass, I hear you. It's on Santa's list. Just not a simple project. :)
And yes, @musadiqmarhaban, all content, including posts, pages, comments, and media, can be exported. It's just that the way WordPress exports media, it's not as files but as links to the original content, and during an import that content gets pulled over and uploaded on the new site without being contained in the actual export file. That way the export files are relatively small and the export/import process goes reasonably quickly and without a lot of server resources.
If you do an export of WordPress.com into a self-hosted site on WordPress.org, if everything works properly, all of your media files should appear within your new media library, but will not be contained as discrete files within the export file.