WordPress is a nonsense, and stores it’s URL in multiple places in the database. If you want to move your WordPress install to a different host, exec the following MySQL commands to change the URL in all instances:
UPDATE wp_options
SET option_value = REPLACE(option_value, "[Old site URL]", "[New site URL]")
WHERE option_value LIKE "%[Old site URL]%";
UPDATE wp_posts
SET post_content = REPLACE(post_content, "[Old site URL]", "[New site URL]")
WHERE post_content LIKE "%[Old site URL]%";
UPDATE wp_posts
SET guid = REPLACE(guid, "[Old site URL]", "[New site URL]")
WHERE guid LIKE "%[Old site URL]%";
UPDATE wp_postmeta
SET meta_value = REPLACE(meta_value, "[Old site URL]", "[New site URL]")
WHERE meta_value LIKE "%[Old site URL]%";
Replace [Old site URL] and [New site URL] appropriately
Use this form to generate the SQL for YOUR database