It's more of a PITA to try to convert to Word or PDF. Seriously. But it depends on what you want to do with the data that you are trying to preserve. In its *.sql state, it is preserved and somewhat accessible.
I've never done this, but depending on how many entries you have, you may want to set the "Blog pages show at most [*] posts" to one number higher than the number of posts you have. For example, if your blog has 487 posts, set that value
[*] to 487 or 488. Then load that bad boy into FireFox, grab the "ScreenGrabber" Firefox extension, and click Save Entire Page -- either as a JPG or PNG file. Then you can load that into Adobe Acrobat and convert it to PDF. If you have the Pro version, you can also OCR it (make the text renderable for coping and pasting). Otherwise, you have a preserved image. BUT I'd go ahead and download the *.sql anyway, you just never know when you might need that. :)
I don't know how you'd get it into Word and I wouldn't recommend that anyway.
If you want to send me a message offlist (check my profile for my email address), I can run your JPG or PNG through Adobe Acrobat Pro, convert it to PDF and OCR it for you. :)