Before talking about the new blog enhancements integrated in the new version of Kentico 4.0, I would like to remind you that Kentico is not strictly a blogging software, but a content management system that includes a blog. This is a crucial distinction.
At a first glance, it looks like the blog feature in Kentico is not very advanced. True, if you compare it with blog-only software like WordPress. However, since the blog is truly integrated into the CMS, the blog automatically inherits all features the CMS offers: workflow, multi-lingual integration, superb SEO capabilities, security features etc. Also, with Kentico you can manage your web site and your blog with one single user interface.
Also, Kentico is smart enough to develop new features for the blog module in a way so they can be used in conjunction with cross-site parts of your web site, like tags and categories.
On-site editing
In my opinion the greatest improvement for blogs in this version: On-site editing! A blog can be configured, so that blog contributors no longer have to log into the cmsdesk. Users can logon to the site and then see convenient buttons labeled "new blog post" or "edit blog post". In theory, online users could even create new blogs. And if you want, you can open your site to public, so-called anonymous users. But with the current SPAM culture on the Internet, maybe not such a great idea...
It is also important to mention that with on-site editing, you can still use the workflow feature. On an enterprise level, employees could contribute their posts, which could then be spell checked and/or undergo a senior review or compliance test.

On-site editing: update your blog without accessing the cmsdesk
Blog subscription
Blogs are intended to trigger conversations amongst users. This is the whole concept behind comments. And it is not unusual to see users ask questions regarding the post in the comments. Now, with this new feature, users can ask their question or simply post their opinion, subscribe to the blog post and get notified via e-mail about every other comment to this post. This feature is a great enhancement to conversation flow. It builds a community of individuals interested in the same topic.
Tags & Categories
There seems to be some confusion on the web about the difference between tags and categories. Roughly I would say that categories can be compared to file folders and tags to labels. This blog post here might explain it a bit better.
Tags
Jeffrey Zeldman called tag clouds the new mullets. Well, they are aesthetically on the same level, but the concept remains interesting: you tag your content with keywords, pretty much as you would do with Meta data keywords. If we go back to the "label" idea: with tags you can now add a link to a list of articles that are all labelled with the tag, let's say: "navigation". No matter when the article was published or where in the hierarchy you decided to place it, it will show up under that tag.
Kentico has integrated a nice tag selector pop-up window: Your site will most likely only use a limited number of tags. Once a tag has been used for the first time, it joins a list of all other applied tags. These are displayed and checked off to use with the tag selector. It's faster and you are less likely to mistype a keyword.
Kentico also allows you to have several tag groups and as I mentioned before, this feature is not restricted to your blog(s), but available site-wide.

Use either the convenient tag selector or enter your tags manually
Categories
Categories are broader than tags. They allow you to organize your articles into the main or top level topics of your blog/site.
The current category integration in Kentico however has a major drawback: Kentico implemented global categories that are defined on the a server level, which renders the feature useless if you run multiple web sites on your server. The second level of categories is on a personal (or per site) level. You can create categories for yourself (!) I don’t have the slightest idea for what purpose, but maybe someone will enlighten me with a useful implementation.
Site level categories are under way and should be hopefully added in version 4.1.
In terms of filtering content, it would also be interesting to see a search possibility, whereby you can list articles within a category that are tagged with the same keyword. I think it is clear that using these techniques can help to refine an often useless full text search.
Trackbacks
Kentico 4 now supports trackbacks, but I haven't been able to get them running. I will update this section when I have done so. By then, maybe I'll also know if Kentico thought about Trackback Spammers.
Resumé
The blog feature was initially added to Kentico about only a year ago. Sure, this module trailed bit behind the competition. But with these new features the gap becomes much smaller and can now also be used by "power bloggers". But if you are planning to launch a blog-only site you are better off with an application like WordPress.