Moving a Wordpress site is more complicated then it should be, just look at the tutorial on the Wordpress support site.
The reason it is so complicated is that Wordpress, for some reason, keeps some domain records in the Database itself, so in order to move domain successfully, not only do you need to export your Database, you then need to do a text find and replace on the Database in order to catch all the mentions of the old domain name.
This will ordinarily work fine, however it is not considered best practice because this kind of crude editing of the database can cause problems in your Database structure which can lead to even more problems.
The recommended system is to change the domain setting on your original site and then export the database, but this technique will break your original website until you can restore the database. Again, this is not really ideal as if you have a large database it can take some time to reinstate the original.
Enter a great little module called WordPress Duplicator. This module will export your entire file structure and database, along with an installer.
You the simply upload the two files to your new domain name and run the installer. A dialogue box will ask you for the basic setting and to verify the new domain name and it will look after everything else.
One of the best Wordpress plugins I have come across in some time!