Here's a blog I just came accross from a US indie rock band based in Seattle called H Is For Hellgate. If your not sure what you could put in a blog, take a look at their blog for some inspiration.
Another blog I really like is by the more established singer / songwriter Ben Lee which you can read here.
There's plenty of blogs out there but the point is, you've got to make your band blog reflect the personality of the group and/or its members.
Oh, and you can set a blog up quickly and easily and they're free!
[Resource http://hisforhellgate.blogspot.com] & [Resource http://www.ben-lee.com/blog.htm]
technorati tags:indie, independent, musician, ben+lee+blog, music+promotion, promote+your+music