I am a panelist in NJAWBO's Business Building Seminar tomorrow and one of the items I was asked to speak about is BLOGS. I have different advice for those that are sole proprietors (or own very small companies) than I do for larger companies. For the smaller company -- free is good. You can create a free blog easily at Google's Blogger.com.
Write regularly so people keep coming back
Write quality content and keep each entry short
Publicize your blog in your email signature and on your web site
The hardest part of having a blog is finding the time to write and to write about things that people care about. I sometimes don't write about certain topics because I assume that everyone already knows about a topic but a good friend of mine reminded me that just because I know about something doesn't mean others do. Survey your readers, clients, friends etc. and find out what they would like to know from you.
Remember - you are the expert in your field. Having a blog enables others to learn from you and they might even hire you to work for them.