I recently moved my WordPress blog to different domain (from http://www.khattamonline.co.cc to http://www.khattam.info) and here is how I did it.
First, I followed the instructions at this page. The page suggested me to use this windows program and I did but there is another plugin for WordPress to achieve the same.
Then, as Askimet gave me error at my new URL, I had to re-enter my WordPress API key again and save it in the Askimet Configuration Page (Plugins>Askimet Configuration) to solve it. Also, I had to re-enter api-key at WordPress.com Stats Plugin Configuration (Plugins>Wordpress.com Stats). It also provided me option to replace my blog with the new one in WordPress Dashboard.
Now, i wanted the older domain and older links to point to my current domain. For this, I replaced the .htaccess in the old site directory with new one as mentioned here.