The short answer is 'yes' - they do differ quite a bit.
Which blade will work for you will depend on the coarseness of your facial hair, your razor, your preferred shaving style, the sensitivity of your skin etc.
Personally, I use Derby blades. Feather blades are probably the sharpest I've come across.
As with perfume, the best advice I can offer is sample, sample, sample. You can buy mixed packs of blades from various online retailers. Try a few different brands out before buying a big carton. Then pop back and let us know how you got on