There is usually no single answer. That is why you have a choice. If you have special air filtering, your filter will only work when the blower is running. So if the furnace or air conditioner is not running much, you may want the blower selection set to “On” to allow for more filtering. If you have a multilevel home on one system, you may find the air temperature more constant with the blower fan on. However, it is recommended to keep the fan in “Auto” mode during the cooling season. New high efficiency cooling coils remove a lot of moisture from air blowing across them. During the air conditioner off cycle, water condensed on the coil surfaces will return to the indoor air if the fan is set to “On”. In some homes, this creates elevated humidity levels. Feel free to experiment to determine how you like it best. A blower motor is normally less than 1 HP so it does not use much electricity.