I relaunched my site (www.pinboardblog.com) and came from wordpress.com to wordpress.org.
My stats have never worked - my designer has installed everything as it's meant to, it even says:
"The WordPress.com Stats Plugin is configured and working.
Visitors who are logged in are not counted. (This means you.)
Visit your Dashboard to see your site stats. If you are asked to log in, use your WordPress.com username and password."
...But again, nothing. The only thing it offers is "incoming links". Nothing else.