This is an area of weakness of WP. Sometimes I build websites with a temporary domain and switching the domain to the final domain can be a real hassle afterwards. I've achieved it in the past by taking a database dump and doing a search and replace but it's hardly a very graceful approach. Then some plugin settings can get messed up by this approach (cforms caused me problems and required to be reinstalled and reconfigured).
WP ties the site to the domain name too severely by hard coding it in so many places. Why does it use full paths for images and links in posts instead of relative paths?
I'd love to see WP build in a simple, safe, approach for changing the domain name in a future release and also keep paths relative where possible. It is common practice to build sites on a temp domain name and then change it to the real one when ready to go live.