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