First of all, be aware that when you have Magento and Wordpress on the same server, you're opening an additional vulnerability leak. When your Wordpress is being hacked, the hacker might also be able to get into your Magento installation and database. That way, the hacker can collect your customers' personal information and maybe even creditcard information.
But about the question you're asking: When using Fishpig's extension, you will lose some functionality, but you can do the theming of the blog within Magento, so it will look the same as the rest of your shop or completely different, depends on what you want.
Another option might be to get rid of Wordpress and use an extension like AW_Blog instead. That way, you'll move your blogs into your Magento installation. Downside is, you have to migrate all blogposts and you'll lose more features that aren't available in the extension.
Last but not least, you might want to consider running Magento and Wordpress as two separate platforms and use Single Sign-on. This means that you login once, no matter if that's on Wordpress or Magento, and you're logged in to both platforms. I'm not a Wordpress expert, but I know there are several Magento extensions available to do this.
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