Hey, it's the fabulous question about how to move a site from wordpress.com to self-hosted.
The last time I tried this, the categories were imported but not the posts or pages. I have heard people say that you should run the import more than once, or try these workarounds if your WXR file is over 2MB.
However, my question is about images. The client has everything in year/month based folders, and there are lots of them. How can I download all of those images and put them on the new server in the same folder structure?