The other commenters have given good reasons for having a blog, but I don't think that you need one straight away. While some aspiring authors have established blogs that have large fan bases and that will help them on the road to publication, a lot of blogs I've clicked through to just have a few followers that won't mean much in terms of future sales.
I've decided not to start a blog until I have an agent. There is finite time available for writing, and at this point in time I'd rather spend that time on my manuscripts and on researching and querying agents. I feel like it will have a better return on investment for me.
Once I have an agent, some of that time will free up. Plus, by landing an agent I'll feel like I've reached a level in my writing career where I can justify spending the extra time that a blog will entail.
Lastly, the manuscript I'm currently submitting covers several areas: chocolate, archaeology, Aztec mythology, location scouting, etc., that I would blog about if this was to be a published novel. But my next novel would be on different topics and it doesn't make sense to me to blog about things that may be part of a novel that doesn't see the light of day.
That's why I'm waiting until I get an agent. From what I can tell, most sales to a publisher take a few months, then it takes another year or so for the actual book to come out, so you'd still have a decent amount of time to build a following. And while not every agented novel sells, I figure at some point you have to take the leap, and an MS with an agent is much more likely to sell than one without.