I never use naval blockades. On land, sometimes. For example, if I'm between a strong and a weak civ who are at war I sometimes throw a cordon around the weak civ to protect it from land invasion by its' stronger enemies. ( I can then build up an army to wipe out the weakling, ensuring all the spoils go to me).
Alternatively, I sometimes allow invasion armies from warring states to pass into my territory. I use my units to funnel their armies into jungle or flood plains and then surround them, hoping they will die off. At the very least they will be an unusable drain on resources.
P.S. How exactly do naval blockades work? Is it sufficient to occupy only coast tiles adjacent to harbours, or must I occupy all coast squares adjacent to city radius?
Can I implement a privateer blockade?.