Jordy Gunderson moved Paul Allen's blog to a new domain and put together some information about how to do that with minimal loss of search engine traffic. There's some other tips in the sheet I put together when I moved my blog from one system to another.
One of the things Jordy mentions that is easy to forget is being sure to redirect example.com to www.example.com. People expect that and often just don't type the www.
Jordy also points to a free link checker. That's a good thing to run over your site periodically whether you're moving or not.