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?

Thanks,
Kirk