Blades are a very "personal" selection--what may work well for me may be terrible for you. Try a variety of blades (several vendors offer "sample packs") to see what works for you.
Are the razors themselves important - i.e. should I try say an EJ and a Merkur, or just keep trying different blades in my EJ?
I think if you are satisfied with the build quality of your razor and it's not way too aggressive or way too gentle for you (no matter what blade you use), stick with what you have to reduce the number of variables.
Thanks Mantic. Is it safe to assume the EJ and Merkur are both equivalent with respect to aggressiveness?
I have really thick facial hair, and I started with Wilkinson Swords. I switched to Feather and it has made a huge difference.