I know a lot of people recommend one, but I personally don't have one and won't (well, maybe as part of a website once I have a publisher).
My reasons:
I don't have anything interesting to say. Well, I do, but it'd be about controversial topics and that's not what I want to build a writing career around. I'm a professor, so I can't talk about work, and my hobbies (origami and kung fu) are so far removed from the sorts of things that I write that I don't think having a blog about them would do anything to encourage people to buy my books.
Most unpublished writer blogs I've seen are about writing or the submission process--concerning both of which I've seen agents actively say "DO NOT WRITE ABOUT THIS." It's not a good idea to talk about submissions in general, number of rejections, etc. If you complain about it you can come across as someone the agent/editor doesn't want to work with. It can make your books look not good enough (if you see someone has a hundred rejections and no requests, you'll assume there's a reason why). And, perhaps most importantly, other writers only make up a small percentage of readers. You're writing a blog that will appeal to a small group and not your actual future audience.
In other words, unless you have a blog about something interesting that isn't related to writing, you probably aren't doing yourself many favors.
Two: I think most blogs suck. I'm not trying to be rude here, but think of the fact that 99% of books out there are being rejected because they aren't up to par, and it seems to me that blogs are about the same. Most aren't very good. They're either not interesting, poorly written, or the author has no voice. Even of those that do, if the blog is just a rehash of other stories or someone stating their opinion as the only truth that exists, it turns me off.
Even of the blogs I read that were great, there are only a couple now that I still check out. Most have gone downhill. I think it's just difficult to maintain over long periods and it takes a certain kind of writer and talent to make one that's really fantastic and has staying power. Considering that I don't like to talk about myself, have nothing interesting to say that wouldn't be controversial, and coming up with something new on a regular basis would drive me crazy, I doubt I'm one of them.
Three: I've actively not bought books because of writer's blogs. Several times. Most recent example would be a book by JA Konrath. It was an earlier one that didn't find a home that he self-published. When I heard about the plot, my first thought was that I wanted to read it. I added it to my wish list, knew it was exactly the sort of book I'd love, and couldn't wait to get an ereader to read it on.
Then I started reading more of his blog. As he's become more inflammatory and arrogant, his personality has turned me off to the point that I no longer have any desire to read his book. The plot still appeals to me, but when I think of the author, the excitement is gone.
I'm not kidding when I say this has happened several times. Sometimes it's political. For instance, an author ranting on about a political issue that I personally disagree wholeheartedly with makes me less likely to try out his books (even when I wanted to). An author who is a complete douche (I've seen it more than once) is going to make me not want to read his/her books.
I actually am at a point where I prefer to know as little about the author as possible because it allows me to enjoy the books without the interference of knowing negative things about the author distracting me from my enjoyment.
I mention this one because I'm not entirely convinced that having a blog always works in your favor. It's always touted as a must have and the only way to sell books, but I can honestly say I've been turned off about books I'd normally have bought more often than I've actually bought a book based on a blog. And those I have weren't the author's blogs, but other people who recommended them.
I might be unusual in that, but I imagine I'm not the only one. I actually saw an informal survey done once where a significant number of voters had also said that they had chosen not to buy a book based on an author's blog. In other words, I'm not convinced that every person will benefit and I think there is a serious possibility that for certain people it might actually be a detriment.
There's no hard evidence that having a blog helps the majority of people. None. Trust me, I've looked, and even proponents have told me that they don't have any and it's just common sense/anecdotal.
People bought books for decades before the internet even existed without any problems. I'm sure for some people it can be a great marketing tool, but I've seen enough people stating that it's had no effect and is just a huge time sink to doubt it's effectiveness for the average writer.
Personally, I'd rather focus on marketing techniques that might actually make a difference. That being said, I've heard agents and editors say that having no web presence can actually encourage a rejection, but my agent didn't ask.
I know I'm a minority voice here, but this is just my skeptical take on the situation.