One of the reasons that you should choose a hosted WordPress blog over a WordPress.com blog are plugins. Plugins are small pieces of software that you can integrate to your hosted WordPress blog. Most plugins have a specific purpose. For example, a statistics plugin monitors the number of page views, number of unique visitors, and other related information about your blog. On the other hand, a back up plugin backs up your blog periodically. The short video below discusses more about the basics of plugins.
There are about 20,000 plugins located at WordPress Plugin Directory. Some are paid and some are free.