I also use Blender for creating models for my game and I always export to .X format. I use the default DirectX exporter that comes with Blender. It took some trial and error with the settings at first, but now everything is working.
When using Blender make sure you remove any additional vertices before exporting (in edit mode hit W, then "Remove Doubles"). Also be sure to apply any modifiers in object mode (like sub surf) before exporting - e.g. you may have added the modifier but not yet applied it. Another thing I learned to watch out for is the origin location of your model in Blender (you will see it as a little pink dot, and it's the point that your model rotates around when you rotate it). As you create your model you may find that the origin has moved, and when you render it in XNA it may not be where you expected it because of that origin value. I set my origin to 0,0,0 for simplicity sake.
Glenn mentioned checking for a really small model, also be careful of a really big model. If your camera is "inside" your model then you may not even see it because your camera is looking through the model from the inside out. You don't see the texture or model because the normal is facing away from you.
If you keep working with .X files and have problems let me know as I've overcome quite a few snags (the main ones listed above). I've written up a step by step guide on my project's wiki for exporting models from Blender to XNA (.X format), and I would like to add something similar to the
XNA wiki whenever I get around to it (unless someome beats me to it!).
Hope that helps.