Priests bless water to make holy water and they bless the faithful at the end of Sunday masses. The Pope has a special apostolic blessing that he gives out sometimes. I know that it is good to be blessed in this way. But why? Does anything change in the receptor of the blessing? If so, what exactly changes?
Blessing of an item is sort of a "package for prayer". The blessing is essentially a prayer for something to remind us Christ and our faith. For example, water reminds especially baptism and everything Jesus did about it in the events recorded in Bible (not only in New Testaments, there are some images pointing to baptism in Old Testament, like passage through Red Sea), in history and in our lives. Another example: a blessing of a cross means a prayer for its wearer to be connected with Jesus, who died on a cross, with all its consequences.
Catholic Church take all the blessings of water, crosses and other things and people by priests as sacramentals - they are not powered by God's promise as directly as sacraments (Eucharist, baptism etc.), but prayers of whole church somehow "power" the sacrament. Prayer is "better" when two or three agree on it - but in sacramentals, all the Body of Christ agree on it, even though most of us Christians (or at least Catholics) are not present or even don't know about it.
And what exactly changes? It's the same as with any other prayer - a clear miracle may occur, but usually nothing apparently changes. But we know God heard the prayer, and we believe that He will answer somehow.