You can export the contents of your blog (posts, comments, categories) in the form of an xml file to your desktop and then import the xml file into the other blog site.
The blogroll links must be separately exported and re-categorized. That means you will have to re-assign them to each link but it's better than copying and pasting those links yet again. :)
"Quick note about the blogroll. The OPML format doesn't support categories even though they'll be there when you do the export. Best bet would be to assign the major category for them when you go to import them as you're going to have to reassign them afterwards anyway." (drmike on the wordpress.com forum)
Blogroll- If you had links, you can export them out at
`http://mydomain.tld/wp-links-opml.php' to your desktop (you must change "my domain" to your own url, of course.)
Open that exported blogroll (links) xml file in a plain text editor like NotePad and save as a *.txt file. Be sure you are using a plain ext editor and then import the *.txt file you saved into your new blog at dashboard -> blogroll -> import Links.
Important Note: The blogroll (links) xml file needs to be saved as a *.txt doc in a plain text editor like Notepad. This is because if you were to save it as a text rich text document using for example Microsoft Wordpad or Word (horrors!) those programs would add in all kinds of garbage like fonts and unusual html formatting code that mess will it up.