I self host through
DreamHost using the WordPress software. Costs a bit more a year, but the support from the DreamHost people is much better then support from WordPress directly. In addition, WordPress.com now nickel and dimes you for features, $13/year for a custom domain name, $54/year for custom themes or something. It adds up.
Either way, WordPress.com is where you'd actually host your blog. WordPress.org is the part that supports the software directly, so no hosting there.
If you go the DreamHost Route, use the code LinkedInR for a 10% discount on hosting. Not much, but it helps.