Moving a blog can be highly tedious at times (sometimes it can even lead to why?).
Free hosts usually don’t have enough space, features, or bandwidth that sometimes can crop up.
Moving to a paid host can be troubling since you have to redirect all of your old viewers (including RSS subscribers) to your new URL.
Or if you have a URL your blog could be down for a few hours to a few days because of the transfer, leading to your viewers thinking you have jumped ship.
CNET TV has a video on How To: Migrate your website (useful for those who don’t know how).