Getting Blender Setup for Imports
Unity will import .blend files natively, however there are a few things to be done to get it to work properly. This page assumes you have some knowledge of Blender. There are lots of Blender tutorials online to bring you up to a novice level.
Clearing Initial Scene
Blender lets you specify an initial scene. The default for this is a box, a light, and a camera. If you have any mesh in the initial scene it will get imported into Unity.
Start up Blender and delete the box in the scene. Now, press Control-U to save your changes to the user defaults.
Now your Blender files will be imported into Unity without the extra box.
Your Models in Blender
When you model in Blender, most people have a tendancy to apply transformations in the Object mode. As of 1.2b2, Unity's Blender importer ignores these transformations. To get around this, all objects in Blender must be at the origin with scale of 1, and zero rotation. To scale and move around meshes relative to one another, apply your transformations in Edit mode.
Another thing to know is that mesh count in Unity (and real time 3D in general) matters a lot, performance wise. If it is feasible to join your meshes in Blender, you should do so. Select a group of meshes and press Control-J to join them.