Blogging is an excellent way to practice all five pillras of social media marketing. It is a great way to demonstrate your expertise, provide contect for the search engines so that you are "findable" for certain key phrases, and answer client-generated questions in the public's eye.
Oftentimes, mainstream media read weblogs to look for local experts when working on a story. Ive been interviewed and quoted by:
Forbes
Business Week
Yahoo! Finance
CNN Money
CNBC
MSNBC
This topic is so complex that a short video wouldn't do it justice. Interested people should read:
Should you decideyou want to set up your own weblog, you have many platforms from which to choose. I prefer Typepad because of its simplicity. Here is a video about how to set up a Typepad weblog:

