They don't really do anything. I can click that number 9 as much as I want, but I'll never get to page 9. I stay on page 1, no closer to my goal. For curiosity's sake, I tried altering the page # in the URL itself, and nothing happened, so I'm guessing it's a problem with the URLs themselves not doing anything.
Also, I might as well add that blogs don't show up in forum searches, even if they've been posted to the forums, so it's pretty much impossible for me to find any of my older (than a few months) blogs.