You should try and be consistent. If you use both:
mysite.com/blog
www. mysite.com/blog
then you will get the same page indexed twice and probably flagged as a duplicates.
There is no penalty for this but you may end up spreading out you pages "link juice" across the duplicates and reducing the ranking of the primary version.
A recent conference includes some comments from Google on this issue:
http://www.toprankblog.com/2010/10/duplicate-content-seschi10/
Some people force the use or removal of www via 301 redirecting between the two. But the most important thing is you chose one method and stick with it.
In Google Webmaster Tools you can tell Google if they should include www when displaying your websites URLs.