I know this has been covered numerous times here, but many people have asked me how to move from their wordpress.com site to their own WordPress installation on a paid host. I am aware of the RSS export/import solution, but I don't think most people are happy about losing their comments and other stuff.
I'm sure someone is working on a wordpress.com-to-WP script like Skeltoac's excellent Blogger-to-WP script that is now part of WP2.0. Hopefully.
In the meantime, though, I really think you should tell people when they sign up that they can't easily migrate to their own WordPress-powered site. It's only reasonable to assume that if you can move from Blogger to WordPress, you should be able to move from WordPress MU to WordPress, and it's very irritating to people when they find out they can't.
The lack of a viable migration option from wordpress.com to WP really makes me hesitant to recommend wordpress.com to people. I'd rather they start with Blogger, then move to paid WP hosting if/when they are ready.
That's my two cents. Thanks for listening.