Blues Progressions generally, are based on the cycle of 4ths. All this means is that chords have a natural urge to move to the next chord a perfect 4th above or below the Tonic. The diagram below shows the anti-clockwise movement in 4ths that chords usually follow. The other thing that influences this movement in a Blues, is the chromatic movement of the 3rds and 7ths of the primary Blues chords, Chords I, IV and V.
For example try playing a 12 bar blues in A just using the notes G and C# for the A7 chord, the notes F# and C for the D7 chord and the notes G# and D for the E7 chord. It is soon evident that this chromatic movement combined with the Cycle of 4ths creates the chordal movement found in the Blues.
To keep things simple, we will start by just refering to the A Blues Key. What this means is that Chord I will be A, Chord IV will be D, and Chord V will be E . The thing that is so interesting with blues progressions is that these chords can be of any type, Major, Minor or Dominant. By using different types of chords in your progression just about every conceiveable mood and style can be created.
Blues Keys should not be confused with standard Major or Minor Key Signatures as the chords in a blues progression won't necessarily be found in the Key Signature of the Tonic chord (Chord I). In a Major Key there is really only ONE 7th chord, chord V of the key. Clearly we can't apply this theory to Blues progressions as the chords can be all 7ths or any combination of chord types. So really Blues progressions should be considered atonal.
Consider a simple Blues progression with E as chord I. How many times have you seen a simple Blues in E written using the E major key signature with 4 sharps. This just makes reading the piece very difficult, as the key signature doesn't fit with the melodies or chords in the progression. By the time you add blue notes, diminished and whole tone runs and all those naturals to cancel out the sharps that don't fit, its no wonder guitarists don't want to read music !. Instead, the song should be written without a key signature, and every note in the bar played as written.This makes the song so much easier to read, and in my opinion makes a lot of sense.