Dipankar Das has written a useful article on how to move an established WordPress.com website to a WordPress install on a self hosted server, which will enable the website owner to publish Google AdSense ads and install tracking software such as Google Analytics.
This article shows different steps that you need to migrate to your personal domain from WordPress.com.
Well worth a read at : http://blog.taragana.com/index.php/archive/how-to-migrate-your-blog-from-wordpresscom-to-self_hosted-blog/