The steps I followed:

1. Set up the site on Rackspace Cloudsites. Select Linux as your OS. PHP as the language and set up a MySQL database.  Remember/write down the MySQL Database for future use.
2. Go to the Wordpress.org site and download the most recent stable version of Wordpress.  Unzip it to a directory on your computer.
3. Log into your Wordpress.com site and export your site to an XML file and download it to a directory on your computer.
4. FTP to your new Rackspace Cloudsite and upload the CONTENTS of the Wordpress directory.  I placed it in the web/content, because my site is only a wordpress site.  If this site is a blog within another site, you may wish to upload it to a “blog” directory.
5. Visit the temporary website address provided by Rackspace. Append /wp-admin/install.php to the end.  This will begin the Installation of Wordpress.
6. The first page will ask you for your database information from step 1.
7. Run the install and voila, you have a wordpress site.
8. Login to the admin, change your password.
9. When in the Wordpress Admin, go to tools and select import.  Import from Wordpress and import the  XML file you saved in step 3.
10. Via ftp delete the index.html file in the main directory where you installed wordpress and you will now be able to see your site at the temporary URL.
11. Go to your domain hosting company and update the DNS records to point to Rackspace.
12. Lastly, upload your themes, widgets, and customize to your hearts content.

Pretty easy and all-in-all took me less than 2 hours!