Any simple way to merge two cube objects together? I've just started using Blender to try to make some basic 3d models for games. I must admit I'm finding it very difficult to get to grips with, but AFAIK it's the best 3d software to use with Unity for animations etc. so I am going to keep at it (unless anyone can recommend using alternatives, which will import easily into Unity).

Basically like the title says, i want to merge cubes. Im making some block artwork and its done with layers of cubes.

I've spent ages try to link them, tried CTRL-J and lots of stuff on 'W' menu. And some other things, I can't believe its not just a case of dragging mouse over everything and selecting merge tbh.

Here is the picture to illustrate what I mean:



So my end result I need is for this shown above to be a 'seen' as a single piece.

EDIT: So thanks for the answers, I've tried to follow along but I find the UI very hard to understand still. I'm looking for this View Header so I can change my merge settings as described: 



and





Thanks to advice from these helpful fellows, here is the finished article :)
two options - first, try turning on AutoMerge Editing option in the 3d viewport header in Edit mode so that vertices moved into the same position get merged. Might be able to just to press G to grab without moving, confirm action with LMB, and get the vertices to merge if Removing Doubles is not merging good enough when increasing the threshold in the Last Operator panel (press F6 to open after operator execution).



Second way can be to use the Array Modifier to model with Merge checkbox in modifier's options enabled, and then apply the modifier in Object mode.