I think I'm going to be ill. I just picked the perfect domain and searched it on godaddy. Then I thought well this other place would be cheaper. I registered it at the other place and it ended up being a transfer because I think godaddy puts it on hold when you search it (do they?) and now I have to wait for the EPP code from godaddy. WTH? Can they do this? Will I be stuck without the domain or will they transfer it? Thanks
That doesn't sound right at all. Godaddy would not request you to transfer it to them just because you searched it there. I'd be looking too cancel whatever request is going on, and if you registered it with another registrar, make sure it is securely in your account LOCKED and that you are showing on the whois.
Maybe you registered that domain through a Godaddy's reseller and that is the cause of confusion, even though I would follow Smart Boy's advice.