For blues you'll want to use the blues scale (minor pentatonic with a flatted 5th added) and begin with a I, IV, V progression (in A that'd be A, D & E).
Here is a primer on the blues scale. Many blues guys also use Mixolydian as well as the Major Pentatonic.
To get the feel, record yourself playing a I, IV, V progression and mess around with those scales over the top until you find something you like. I've even recorded myself singing the lead part over the progression and then I go back and match the vocal notes to the notes on the guitar (Adobe Audition or Cool Edit Pro come in very handy for this concept).
The singing approach helps if you're not already adept at playing what you hear in your head.