I used to convert web pages to PDF, but on the Kindle it is much nicer to read mobi documents.
To convert web pages to mobi, I highly recommend the GrabMyBooks firefox extension. It is the one piece of software that has dramatically improved my experience on my Kindle this year (and I already use great software such as Briss, Librerator and Kranf's Kindle Collection Manager).
GrabMyBooks lets you gradually build an ebook in a separate Firefox tab by selecting web pages or content as you go. You can add pages one by one by right-clicking on the page and selecting "Grab this Page". If you only want part of a page, you can also select text and grab it. And you can also select multiple links and grab them, which is very convenient if you are interested in multiple blog posts.
Usually, when you grab a web page for your ebook, there are many components of the page you do not want: the sidebars, the comments and so on. GrabMyBooks is pretty good at guessing which content you want, but it sometimes gets it wrong. In these cases, it's very useful to be able to select the text you want, right-click and choose "Grab selected text".
By default, GrabMyBooks creates an Epub. But in the Settings, you can tell it to create a mobi file. For GrabMyBooks to create mobi files, you must have Calibre installed. You then tell GrabMyBooks where Calibre is installed. This may sound like a lot of work, but configuring GrabMyBooks properly is well worth it if you want a luxury experience of creating ebooks from web content on the fly.
For instance, there is a setting where you specify the default save directory. Well, I have it save my ebooks directly to my Kindle's "documents" folder.
Also, there is an option where GrabMyBooks saves an Epub file in addition to the mobi file. This allows you to later load the Epub book in GrabMyBooks and edit it again, adding or deleting web pages. In the settings, you can set a directory where the software will save Epubs, since your default format will be mobi.
I recommend always editing the Metadata setting before grabbing your book so that it displays with a nice title and author name.
Hope you like it as much as I do.