Some of the record labels make a great effort to educate and inform, and the anthologies and collections available on the market are excellent. In this series, we start with a discussion of blues anthologies, and make a few recommendations to help guide you. Read about the blues. Learn who influenced the contemporary musicians you enjoy, and then check out who influenced them. Keep working backwards in time.
Local libraries are a good source of books on the blues.
Whether you're a musician and want to study the techniques of the music, or if you're simply curious about the history or the people, or just want some cool new stuff to listen to, the history and folklore is well worth reading about. Many of these musicians lived fascinating, colorful lives. But as usually happens with the passage of time, a lot of the folklore has evolved into commercialized mythology, with some of it based on spurious information. The more you read and hear, the more you can sort this out for yourself. Find out which music stores in your area carry the broadest selection of the blues.