I'd say transfer it; like Jason said, it's illegal for them to not allow that. And consider 1and1.com; I find them much better than GoDaddy.com. We've started migrating our 60+ domains at work to 1and1.com
We'd been using 1and1.com for our domains here too (and for HG), but we're moving those to our host now, The Planet, since they are a tad cheaper. When you have that many, it's a savings even at a dollar or so a piece.
"Greatness is not a function of circumstance. Greatness, it turns out, is largely a matter of conscious choice, and discipline." - Jim Collins