How hard is it to switch your WordPress site from one web host to another?

Since about 2005, all my WordPress powered websites have been hosted with GoDaddy. It’s not due to any particular loyalty that I’ve stayed this long. Au contraire! There are actually a heck of a lot of things GoDaddy has done to totally tick me off over the years, but I stayed because I always assumed that changing my web hosting with be really hard, a lot of work and just generally a big frickin’ hassle. Never underestimate the appeal of sticking with the annoying thing you are familiar with...