registering your name with go daddy is a good idea, just don't sign up for any of their services. When you make your decision on where to host your site you will just change 2 or 3 DNS numbers to your web host. I like this set up because then you can keep all your domain names in one place even if you decide to have multiple sites at different web hosts later on. You also might want to transfer single domains from one host to another at a later date.
Not that you couldn't do it another way but it works for me. I have probably 10 domain names (for myself and others) registered at go daddy, but hosted elsewhere.
PSA: The above post may contain sarcasm, reply at your own risk | Not in gear database: Auto Sears 50mm 2.0 / 3x CL-360, Nikon SB-28, SunPak auto 322 D, Minolta 20