Watch the SECTION 1 online guitar lesson by Andy Aledort from Progressive Blues Power
Let's begin in the key of E, which is certainly the most commonly used key in blues and blues/rock. One of the great advantages of this key is that all of the guitar's open (unfretted) strings can be used liberally for soloing or for playing rhythm parts. First up is the E blues scale (E G A Bb B D), played in open position, meaning that open strings are included in the scale position. Be sure to practice the scale ascending and descending many times in order to memorize it and for it to become comfortable under your fingers.
Also, try playing the scale in different groupings such as ascending threes, fours, fives and sixes as well as descending threes, fours, fives and sixes. Then adjust your focus to smaller parts of the scale, using just a few strings at a time.