Well, on http://faq.wordpress.com/2006/06/08/allowed-html-tags it says you can use caption, tfoot, etc...
You should use:
caption - small text that renders as a table title.
thead - table header
tfoot - table footer (goes before the body)
tbody - table body (the content of the table)
tr - the row
th - table header (the header of a column, for example: details, qty, price...)
td - table data (the data: cable, 1, $5; etc...)
It turns out in wordpress.com you can use:
thead (it erased the closing tag)
tr, th, td (good)
and nothing else.
You may like how the 'caption' tag worked on the preview, or the 'tfoot', or the 'thead', but when you hit save it's all gone...... or so I learnt. Please correct me if I'm wrong.