I moved my diary WordPress installation yesterday from an old WP1.22 installation to a brand new shiny WP1.5 database and URL. Here are the steps, in summary:

1. We don’t want to lose any comments so get into phpMyAdmin and shut down comments/trackbacks on the old blog, by running this SQL:
   UPDATE wp_posts SET comment_status = 'closed', ping_status = 'closed'
2. Then export the database, with Complete Data Inserts turned on. Get the dump down into a text file (there’s probably an automatic way, but I just copy/pasted into my preferred editor — Ultraedit)
3. Do whatever replacements are needed on the data. I replaced all the toxiccustard.com/diary URLs with danielbowen.com ones, for instance. Be sure to change the setting in wp_options that specifies the site (WP) URL, ‘cos you won’t be able to logon if you don’t — the logon code will throw you over to the old blog. There’s another setting called Blog address which will also need changing if you’re coming off WP1.5.
4. My export seemed to add extraneous escape characters in odd places. For instance a quote "e; in the database came out with two backslashes in front of it. I did some replacing to remove "e; with "e; — and similarly with single quotes, they all need only one
5. Create the new database, with whatever database user WP will be using, and plug the details into your wp-config.php
6. Run the export SQL into the new database, by copy/pasting into myPhpAdmin. I did it table-by-table so I could catch and correct any problems easily. I was especially wary of the wp_posts table, which had almost 700 rows, most with very long data. But as it turns out it all went very smoothly, with no problems whatsoever.
7. Time to upload all the WP files into the new web server. Because I was moving from WP1.22 to 1.5, there were some steps to follow first for migrating the old template. All pretty straightforward really. Then run the WP wp-admin/upgrade.php to make sure the tables are all up to date with the latest design.
8. Log onto WordPress and go through the config screens to make sure it’s all okay. Things to watch out for include the timezone (if different on the new server), setting your preferred template, activating any plugins you want, and setting the new file upload directory (on which you’ll need to set permissions).
9. Check out the Permalinks. Set it up, then copy what it tells you to your .htaccess file. (The WP1.5 version wouldn’t actually work for me. For now I’m still using the WP1.2 version until I figure it out.)
10. Check how the blog looks to the outside world. Post a test post and comment, just to check it all works. If not, go back and correct where applicable.
11. Re-enable (selected) comments on the new blog:
    UPDATE wp_posts SET comment_status = 'open', ping_status = 'open'
12. Insert an .htaccess redirect on the old site to point people over to the new:
    Redirect /olddirectory http://yoursite.com/newdirectory/

And presto! Done!

(Okay, I had some further hassles with some old HTML and broken image links mixing it up with WordPress, but that’s my problem, not yours!)