The blog here will remain unless you delete it, but it will revert back to the original wordpress.COM URL. All posts, pages, comments, etc., will all still be there. When you go self-hosted, it is best to set the blog here to private so that there is no chance of it interfering with the posts on your new blog. Search engines do not like duplicate content and will penalize you for it.
You can either keep the blog here and set it to private just in case at some later date you want to revive it for some reason, or you can delete it. Do be aware that if you delete it, no one, not even you will ever be able to get it back. Once a blog is deleted, it is gone forever. I always suggest hanging onto them and setting them to private. It does no harm and gives you options if you need them later.