All of Arrbez's recommendations are on point!
I'm not much of a blues guy myself, but there's a few places that are pretty revered for that kind of stuff: Cameron House, at Queen and Spadina, is folk-oriented, and Devin Cuddy's had a residency there. I've never been to Hugh's Room on Roncesvalles, but it's focused on the blues. And I know that Cadillac Lounge in Parkdale has blues / country / rockabilly stuff at times, and they have a massive, great back patio. The Rhino's also across the street from it.
Based on where you're staying, the Annex is definitely a great place to check out, as plenty of people have said. And along with Parkdale, West Queen West, etc., I'd also recommend checking out the Junction. It's a little further off (it's north of Roncesvalles / Parkdale), but it's a great neighbourhood with bars, massive antique shops, etc. If you're into beer, for local breweries, along with Mill St. and Steamwhistle, there's Indie Ale House in the Junction, Bellwoods on Ossington, Left Field in Leslieville, and Duggan's in Parkdale. Have fun!