With a godaddy account, is it at all possible to host my domain somewhere else?

I have already purchased my domain name from Godaddy. Realizing that there were cheaper options out there for the actual web host, I finally settled on Hostbandit. I am having trouble linking the two together and was wondering if it was actually possible to get my domain from Godaddy and host it somewhere else, like Hostbandit. Any help/tips/advice would be great!