MySQL query: blog entry has comments or not
UPDATE: Ah...I've reread your original query. When I first read it, I thought that you were only retrieving this for a single blog, but now I see that you're retrieving for every blog record.

This might be inefficient, though I'm not sure.  I suppose it depends on how good MySQL is at dealing with that subquery.

Below is probably the most straightforward approach:

SELECT
    blogs.blog_id,
    COUNT(comments.blog_id)
FROM blogs
LEFT OUTER JOIN comments on
    comments.blog_id = blogs.blog_id
GROUP BY
    blogs.blog_id


Of course, this gives you a count, which is more information that was asked for, but this will probably be pretty efficient if you have an index on blog_id.

Another alternative is to union together a result of the  blogs that have comments with another result of the blogs that don't have comments.

SELECT blog_id, true
FROM blogs
WHERE
    EXISTS (
        SELECT true
        FROM comments
        WHERE
            comments.blog_id = blogs.blog_id
    )

UNION ALL

SELECT blog_id, false
FROM blogs
WHERE
    NOT EXISTS (
        SELECT true
        FROM comments
        WHERE
            comments.blog_id = blogs.blog_id
    )