One thing surprised me while evaluating hosted blog solutions for the Enterprise Social Software Report 2008: customers often indicate they'd like to switch to another service, but they keep putting it off. And it's not procrastination, it's because migration is quite an off-putting prospect.
For sure, switching software and especially SaaS-based systems is never something people look forward to. But with blog services such as TypePad and wordpress.com, migration is supposedly easy: they offer both export and import; even Blogger can be made to do an export with a couple of tricks, and if all else fails, you could use your blog's RSS feed as a last resort to grab the text and leave.
So what's the problem? Well, you can export from your old service, and probably import it to the new one. Getting the text across, or even comments and trackbacks, is perfectly feasible, but then there's the images and "other binaries." Which sounds innocent enough, but your service may host podcasts you probably worked hard enough on not to just throw away for some nice new features or better usability. How are you going to transfer all of that?
Then, a new "permalink" structure might break any hyperlinks to the blog and between posts. What if you were used to /month/day/title.html links which suddenly change to /category/title.html? And a switch of domain name might loose you your readers, not to mention your Google PageRank. Every once in a while you'll come across those http://adriaanbloem.blogspot.com addresses, and when you do, realize they're like the Hotel California: you can post there any time you want, but you can never leave the host. Not using their own domain is the #1 reason people don't switch to another service they might prefer.
You or your enterprise may embark on the adventure as "just an experiment" at first. Using one of the various SaaS options is not a bad way to go, but don't be lulled into the all-to-easy "we'll see, maybe we'll change it if it's a success." I can understand the rationale (blogging is supposed to be simple and straightforward, that's the whole point, isn't it?) but doing your homework might save you a lot of headaches.
Think through the various options. Be careful about the permalink structure you set up and where you host your images and podcasts. And remember that your castle is your domain: shell out that $10 and get a unique URL.