Magento Ecommerce Blog functionality is not included by default. However, it is now very easy to setup a blog in Magento store. You will need to use a custom Magento module for it. You can find many modules available at Magento Connect that will adequately suit your needs.
The most popular free module that you can use is the Magento Blog – Community Edition by aheadWorks.
Magento Blog module is the best way to communicate with your customers and visitors. The blog will give you a medium to keep your buyers visit your Magento store more often. You can write official news and information about your store, promotions, sales, new products, etc. Magento Blog brings blogging to your Magento ecommerce store without the need for another CMS/Framework.