Sticky blogs work best
Stickiness is a primary goal for most websites. A site that is sticky gets people coming back again and again, and staying longer too.
It is easier to build a relationship and engage your reader if your site is sticky. My blog’s reasonably sticky because the author is so good and has such insightful things to say. 
But seriously though, there are things you can do to engage your readers in some of the dialog. For instance, you can form a community where they are all talking to each other — most blogs are really abysmal at that. Even my blog really doesn’t do a very good job of bringing readers together and getting them to talk to each other.
So how do you get off your soapbox as a blogger and start conversations without finishing them, and let your readers take over?
Performancing has a nice list of practical things you can do to build online community of your blog:
- Design for repeat visits
- Keep advertising minimal for repeats
- Provide a recent posts list
- Answer your comments
- Use the right language
- Post frequently
- Have a private message system
- Allow member posts
- Include members in decisions
- Don’t neglect the distributed community
Offer both RSS and email subscription options to posts is another one, I think.