I know for self-hosted that's actually pretty easy to do. You could just go into phpMyAdmin, for example, export the contents of your database (where all your blog settings and posts/comments are stored) and then import that into the next blog. Unfortunately, I'm not sure how that would be done on a hosted blog, or if they even provide that option. If they do, my guess would be the process is equally easy.
The problem, however, would likely be making it easy for your users to follow you. If you're using Feedburner for your RSS feed, making sure your users make the transition with you shouldn't be too difficult, as you could just change the source of the feed. If you're using WordPress's default feed, then all of your users would also have to change their feed settings.