What's the difference between a Site Admin and a Blog Admin?

I have seen in several posts where I am advised not set bloggers to an admin role. I am pretty sure I would not want that on my blog, but does that include setting them up to act as an admin on their blog also? Or am I misunderstanding?

What is a recommended role to set new bloggers up if I want them to have as many privileges as will make them feel like they are actually administering their own blog, and not just posting stuff without any control at all?