There are lots of them out there and it can be sometime hard to choose one. The choice of the blogging platform should solely depend on the easy of use as well as and resources for troubleshooting problems. An active community can be really helpful when you hit unexpected road blocks while using the platform. Another thing to consider is the functionalities (a.k.a. possibility ) present ,sometimes this is the main reason for switching in the first place. Some examples are WordPress ,Drupal ,Joomla,etc,etc
Choosing a hosting is a vital task ,because it will be your responsibility to make sure that your site is up every second. There are lots of high quality hosting options available within a affordable price but it can became a headache while choosing one . I suggest using services like Host Search which give clear comparisons between various hosting providers with in detail reviews.
Import Your Stuff
Shifting your blog from one CMS to another doesn't mean that you have to start from scratch again. There are tools available for exporting all your posts as well as comments into XML format which can then be easily imported. XML is a widely accepted format and mostly all major CMS'es have a Import functionality present for it. Though there might be problems when your transferring 2 million posts of yours !!
Before doing the actual switch, make yourself familiar with most of features of the new CMS or atleast the basic onces which you would be using frequently. This makes sure you don't hit any unexpected problems. Reading through the official Documentation of the specific CMS would be really helpful in these cases.
Test then Finalize
When you have successfully shifted all your content to the new CMS, it is recommended that you keep the old blog up for atleast a month to make sure that all the traffic is directed to the new blog. As Blogger doesn't allow 301 Redirects it would be simpler to inform users by a sort of Banner on Top about the new Blog. There is a video by Google Webmaster Help explaining it in more detail.
It would be so Awesome if Google released a Self Hosting version of Blogger. It would be a step towards making Blogger the ultimate Blogging platform. Who is stopping from dreaming...