I would say that the blade is the single most important part of your equipment choice. Keep in mind that everything else in the whole shaving setup is just there to make the blade work better. It's easy to look at safety razor blades and think that they must all be pretty similar. Far from it. Changing your blade will change your shave more than anything else, and there are a lot of options. The good news is, they're cheap. You can usually get a 100 pack for $10-$25 on Amazon, depending on the blade.
Let me run through some of the more popular ones. It's worth noting that I have a relatively tough beard, and I select blades accordingly.
Astra Superior Platinum - When I first started, I found this blade a little unforgiving, but now it's by far my favorite. Sharp, cheap, and high quality, without being too brutal.
Gillette Silver Blue - A very popular, well balanced blade. Not QUITE sharp enough for my taste, but still usable.
Rapira Platinum Lux - Smooth as butter. I would highly recommend this for sensitive skin, especially if your beard isn't too heavy.
Feather - The sharpest blade in history, made of grorious Nippon steer, forder over a mirrion times. They really do work, especially if you have a very tough beard, but I find that they wear out pretty quick. These will absolutely cut you if you're not careful. Also a bit on the expensive side.
Gillette 7 O'clock Super Stainless - A very underappreciated blade in my opinion, and definitely one I would recommend for beginners. Sharp enough to get the job done while still being easy to use.
Personna Lab Blue/Med Prep - Some people swear by these. The only blades I know of that are American made. Nobody can seem to agree if the Lab Blue and Med Prep are the same blade in a different package or actual different blades. I seem to do a little better with the Med Prep. They're not a favorite though.
Personna Platium/Red/Crystal - All different names for the same blade. These are Israeli made. I've never been able to get to the bottom of the shared name with the American Personna blades, but I don't think they're the same company. Another decent medium blade.
Derby - This is a love it or hate it blade. There's absolutely no in between. Try it if you have a very light beard, otherwise stay the hell away.
Shark Super Chrome - Reasonably popular, and they get the job done, but I find them to be a little rough on the skin.
There are plenty of other quality blades available. These are just a few popular ones and personal favorites. If you're not sure what you want, you can buy sampler packs on Amazon. If you want to try something specific without committing to a 100 pack, check out
Try A Blade for singles with flat shipping. I've ordered from them a couple times and they do exactly what they claim to do.
Blades lifespan varies wildly. Change it out when it starts pulling hair or is otherwise uncomfortable. I've heard of people who change the blade every time, I've heard of people who use the same blade for a month. For me, it's about 3 uses.
Don't throw blades directly in the trash. Some blade packs come with a little place to put used blades. If yours doesn't, buy or make a blade bank. I've seen people make them by cutting a hole in the top of an empty tin can, for example. Just make sure they won't come out in the trash.