The Context module is great and does a lot of things. Web Omlette has a good summary of using the Context module for block administration.
One issue with the Context module comes when you have multiple contexts adding different blocks to the same page. An example being:
Context A places blocks 1 and 2 in the left sidebar.
Context B places blocks 3 and 4 in the left sidebar.
Although you can order the blocks in each individual context, you can't easily order them (you can apparently do so if you use the inline context UI rather than the admin one) when combining contexts.
If page X matches both context A and context B it can be a bit of a mess in terms of the order of the blocks. You are most likely going to end up with A1, B3, A2, B4 but this isn't guaranteed.