It worked in 10.04 OOTB but you need to adjust some settings. Proof. In general this should make it work in newer releases (If not it is a regression and should be considered a bug ;) )
From the link:
First, plug it into a USB port!
Edit|Preferences...|Devices|Recording|Device: Blue Snowball :...|Channels: 1(Mono)|OK
Edit|Preferences...|Recording|Sound Activated Recording|(check the box and set the level to -33db.|OK
Edit|Preferences...|Quality|Default Sample Format: (select 16-bit)|OK
(actually, you can do all of these and then press OK)
Next, you have to raise the audio input level: Click the speaker icon at the upper right of the desktop screen and select Sound Preferences...|Input|(set the button for Blue Snowball). Then move the Input volume: slider to the far right (full volume).
Now you should be able to record. But before you start, use the Zoom Out to increase the display timescale to beyond the time that you expect to record (so that Audacity does not have to redraw the display and possibly drop some audio samples). Press the red button on Audacity and then play some music (or make some noise!). You should see a plot of your audio. Press the yellow square to stop recording. Then press the green triangle to play it back. This all worked for me. Hope it does for you. It took me awhile to figure out how to set the input volume. That was the only problem I had...
pavucontrol (as said in comments). It has alot more options than the basic sound settings. It saved me some trouble with my HDMI audio on a dual display and I have seen others getting solutions from it after suggesting it.