Grinding your beans just prior to brewing results in a much stronger and fresher flavor. The type of grind you use should correspond to the way you brew your coffee. You should use the finest grind possible for your brew method without going too fine. For example, if you use a very fine grind on a drip coffee maker, it can clog the filter, but if you use too fine a grind on a French press, the coffee can actually pass through the filter.
Brew Method Grind Setting
Drip brew Medium
Espresso Machine Fine
Permanent Filter or Vacuum Medium to Coarse
French Press Coarse
The word "blade grinder" is sort of a misnomer since there really is no actual grinding going on. This type of grinder is more like a blender for coffee beans. Blade grinders are very popular because they are cheap, readily available, and easy to use. However, blade grinders have serious drawbacks. First and foremost, they offer very little control. Basically, you are guessing how long you want the blades to hack the beans apart. Instead of a consistent, even grind, you can easily get chopped chunks mixed with powder. Also, blade grinders produce a lot of friction which produces heat. Heat actually starts to rob your coffee of its aroma and essences before it's even brewed. Grind your coffee with a blade for long enough, and you may even be able to detect a "burnt" taste.
The best and most common burr grinder is a conical burr grinder. These devices actually crush the beans between a moving surface and a non-moving surface. The positioning on the burr is what regulates the ground size, which allows for a more consistent grind. Since the beans are being crushed rather than sliced, there is not a noticeable increase in heat when using a burr grinder, so there will not be a burnt taste or a loss in flavor.
Coffee roasters and commercial coffee companies use burr grinders, and they are available in all sizes from large commercial grinders to countertop models. While you could get away with using a blade grinder for brewing coffee in a drip machine using paper filters, you should certainly only use a burr grinder if you are brewing coffee with a French press or using a permanent filter.