Drying time of paints:
Acrylics - fastest
Enamels - slightly slower
Oils - slowest
Obviously if there is not enough time before the paint dries to blend then that technique will not work. Blending with acrylics is done by creating an optical illusion by painting in successive thin layers of paint. Each layer must be completely dry before adding another. The minimum number of layers is probably five but some people go as high as twelve.
What this means is, if for example you were trying to blend from pure black to white you would create three shades of gray where one gray is a 50-50 mix of black and white and the other two are 75-25 B/W and 25-75 B/W. The consistency of the paint should be like weak tea. The application in order then would be overlapping bands something like this:
.....................................................................................................[-----white-----]
..........................................................................[-----25-75 B/W-----]
...............................................[-----50-50 B/W-----]
...................[-----75-25 B/W-----]
[-----Black-----]
I would probably base coat in the middle gray. Obviously, if you have more layers of transitional gray then the effect is even more convincing. It is time consuming but effective. Jaume Ortiz is a great example of this technique so take a look at his work.
Enamels can be blended but since the drying time is still pretty fast the best technique is by stippling one color into the other at the point where they meet. A little solvent helps aid in the mixing of the colors. There are some miniaturists who paint exclusively in enamels to a high standard like Bill Horan, Mike Good, Mike Blank, etc.
Oils are the easiest to blend but you run the risk of over blending or, if the paint is applied to thickly, in leaving brush strokes. In miniatures the whole secret is in retaining contrast almost to the point of exaggeration. Especially in the smaller scales of 75mm and below. This is what helps make the 3-D effect pop out. The oils should be first drained of their oil content by placing on an absorbent card first. The paint should be applied thinly and do not over brush as it will start to streak. I avoid using turpentine but use paint thinner instead but it is best to apply the paint without anything else. Some oil colors are more transparent than others making blending difficult. Stippling can also be used to great effect and a large soft brush can assist in this. A base color in either acrylics or enamels can greatly assist in the over-coating with oils. The drawback to oils is that some colors dry shinier than others and in miniatures we strive for a matte finish mostly except for painting metallics or other special effects. There are numerous example of oil painters but Daniel Cartacci is probably one of the best. He has an excellent book out which a great reference.
Generally, dry brushing is to be avoided but may be used for some special effects like adding mud, dirt or grime to clothing. However, try to avoid it as the technique is obvious and not considered the best for creating the illusion of blended colors.
I have personally never tried oil pastels on miniatures. However, regardless of what medium you use it is the end product that is important. If it looks good and convincing then it is probably okay. I have used chalk pastels for weathering effects and when used sparingly they can be very convincing. However, don't handle the figure or paint over them as the effect is destroyed.
More than anything, the old adage about less is more is very true.
There are tutorials on this board for different mediums of which someone can link to I am sure.