Don't think it really makes all that much difference. All the search engines will crawl the pages no matter which one they're hosted on. Crawling and indexing depends on the links that point to the pages and the content that's on the pages, not where they're hosted.
Move if it will provide you with better functionality or some features that you need but don't have where you are.
But honestly, if you're going to move the blog, I'd suggest moving it off of a hosted platform and putting it on a server and domain you control. Any of those platforms (Blogger, Wordpress.com, etc.) if you read their terms of service, you'll see they reserve the right to delete your account for any reason (or no reason at all) at any time, with no advance warning to you. While that's unlikely to happen, if it does, it would seriously suck.
Putting the blog on a domain you control, on your own server, eliminates those kinds of problems. Of course, you'll also want to take regular database backups (there are plugins to automate this process) and keep backups of any customizations you do to your theme.
It also allows you the freedom to install a totally custom theme, add any plugins you want and post whatever kind of content you want without worrying about running afoul of a blog platform's terms of service. For my money, there's just a lot more freedom and control when you're not tied to a third-party blogging platform.
Most hosting companies offer "one click" installs of Wordpress and there are tons of plugins (and some themes) that make integration with Google Analytics, Google+, Google Authorship, etc. very very simple. If for some reason you don't like Wordpress, many hosting companies support other blogging software as well, and many will allow you to install additional software of your choice (they just won't provide support; you'd have to go to the software vendor directly for support if you have trouble). So you could use pretty much any blogging software you wanted. (I happen to personally love Wordpress, but your mileage may vary.)