I am the proud owner of two or three blisters from 2nd degree burns. (When melting pyrex glass tubes, you shouldn’t touch the parts that have just been heated…word to the wise.)
1st Law of the Lab: Hot Pyrex looks just like cold Pyrex. 
If they are on areas that you will be touching things with regularly, and I assume that they are from the way you acquired them, then I would say yes. Lance at the base, collapse down, apply topical antiseptic, gauze bandage loosely, and ingest appropriate alcohols. I’ve always found that doing this toughens up the blistered area quicker, and allows it to be used sooner. YMMV.
Similarly, when performing assembly work on valuable electronic circuitry, and you accidently drop your soldering iron right onto the middle of the board, do not grab the soldering iron by the business end in order to save the electronics from damage.
I learned this in 9th grade electronics lab. Good thing they kept a rather large aloe plant on the windowsill for just such lessons.
Lancing the blister will permit bacteria to encroach on the space between the blister and the raw flesh underneath, so many people give the advice “do not pop the blister.”
But, practically, that blister is gonna pop, and even sooner if it’s in a working area, like your fingertips, or on the heel of a foot that’s wearing new shoes. So, follow silenus’ advice except that if it is a fingertip or heel where a loose bandage is not practical, I recommend that you use two or more adhesive bandages, overlapped, to reinforce the skin in the area and keep dirt out…
I tested this once, when I had two blisters. I popped one, and didn’t pop the other one. I did cover up the popped one.
Well, the non-popped one did pop by itself eventually, and it healed a coupled of days (I think) quicker. It was definitely better to leave it to pop by itself.
[indent][indent][indent][indent]OP from January 2004[/indent][/indent][/indent][/indent]
In the rare case that I get a blister, I always carefully apply pressure. I’ve been able to force out the fluids that accumulate and get the two layers of skin to hold back together, effectively healing it or at least reducing it. Keeping the area bandaged helps too.
Then again I have weird skin, and don’t get large blisters, or bruise at all, even with broken bones, so YMMV.
My personal experience:
I have had to deal with lots of blisters over the years.
Except for the most mild blisters I have done better by popping.
The Benedine (sp?) iodine type stuff is very good for keeping things clean.
For some reason I think it hurt way more when I’ve pulled the skin back from a burn blister.
IANAD
YMMV
I’ll agree with other posters (don’t drain it unless it’s likely to pop on its own, and then only with a small hole near the edge), and I’ll also mention donut bandages. A donut bandage is a bandage with a hole in the middle, usually made out of moleskin (a thick felt-like material). You don’t put it directly on the blister, but on the healthy skin around it, and it keeps pressure off of the blister. I’m not sure this is a good idea for a burn blister (since even the unblistered surrounding skin is probably also damaged), but for shoe blisters, they’re a godsend. Of course, even better is to notice the hot spot before it becomes a blister, and protect it with a donut bandage to prevent a blister from forming in the first place.