Hi Jaymz
For blues, one of the easiest things you can do is learn a 12 bar blues.
Let's say you choose 'A' as your key. Your 12 bar will consist of the A, D and E chords.
You can play each of the major pentatonic scales over the chord as it passes, so A major Pent, D major pent, E major pent.
For a variant, you can then substitute a minor pentatonic over each chord:
A minor Pent, D minor Pent, E minor Pent.
And finally you can do 'blue note' substitution where you include the flat 5 note in all of the above.
Think of your chords as they pass and look to end your phrases on the chord tones if you want to play it safe.
I have Eric Clapton's 'Blues' and 'From the Cradle' albums. These contain great examples of 12 bars. Put the CD on and as the other guys love to say 'just whack' until something sounds good!

(of course using the theory I gave above will also help you get there quicker).
Have fun, and don't get too depressed! If you do, then write a blues song!