I myself enjoy both wine and cheese. However, I just recently learned that not all wines and cheeses go together. For instance, you are not as likely to enjoy white wines with harder cheeses as you would red wines with harder cheeses.
As far as blue cheese, it may not blend as well with the more bitter wines, but rather they should consumed along with desert wines. Of course, personal taste does matter as well as just following a set of rules. However, you cannot escape the fact that pairing wines with cheeses is an art.
Delish.com is one place that provides a guide for wine and cheese pairing:
How to Pair Wine and Cheese - Delish.com