If you choose to self host a blog or to hire a web host then you or your host can download a free blog template from wordpress.org. In that case you can export the entire contents of your wordpress.com blog to your wordpress.org blog and none of your posts will be lost. http://faq.wordpress.com/2006/12/24/how-do-i-move-between-blogs/
The link I will post in the next sentence is to a resource that myself, britgirl and sunburntkamel made to explain the process of moving blog contents from wordpress.com to wordpress.org and visa versa. This may be helpful. Andy has also written the pink sticky post at the head of the forum I think you may want to read. It describes the differences between wordpress.com blogs and services and wordpress.org blogs and services.