You are right this is a drawback of changing domain name, when I changed to custom domain I lost my pagerank and also old back link will not count with new domain name.
I use both.. for me, nothing difference.. the both has their own advantages as well as disadvantages.. So, depend on you
I always prefer to get my own domain. It is because, when I will be doing link building, then that will be for my own site, and not for some subdomain being hosted at blogger
and now I confuse... I still use my old blog on the signature... Advertiser love old domain, pageranks, self hosted with good domain name. its important if you interested to make money from your blog. and now I confuse, I have to build from the beginning with my own domain. Still confuse about it. I dont know which one is the best.
If you get your own domain name, and transfer an already existing blog to it, then Yes, you have to start all over building backlinks to the new url However, already existing links that point to your blogspot site WILL forward to your new site. I know that works if you buy your custom domain through blogger. But here's something I just learned: http://www.learntoearn101.net/2008/08/dont-get-your-blogs-custom-domain-name_16.html