The Blades are notable not just because of their story but because there's an incredibly unique mechanic exclusive to joining their faction.
The Blades are one of two factions that the player has to pick between to progress the main quest, with the Greybeards being the other option. First impressions matter and Delphine doesn't really start on the right foot. The Dragonborn's first introduction to Delphine is her stealing an ancestorial artifact of the Greybeards and using it to blackmail the Dragonborn to meet her. Before the player joins, the only two members of the Blades are Delphine and Esbern, two characters who aren't incredibly likable.
The Blades are not a popular group among Skyrim players, mainly for how stubborn they are when it comes to the Parthanyx dilemma.