I am making models in blender to export them then in unity, and unity can import .blend formats as well as .fbx, so which one is better, is there even any difference.
I would suggest using fbx. It is much more widely supported by other tools and that generally means that even in Unity, more effort will have been spent on making sure that fbx works properly. If you need to import your models to other tools besides Unity for processing etc, you will probably need fbx anyhow. Also, if you decide to use some other modelling program besides blender in the future, then it will be easier to migrate them.
There is no real advantage to using blend files, unless you are planning to use blender specific features, which are not going to be available in other programs.
PS. The one advantage of using blend files in unity is for speed and convenience during development, but I would still convert them to fbx when they are finalized.
Usually FBX is preferred for exporting the models. You can follow this link for more info. http://docs.unity3d.com/Manual/HOWTO-ImportObjectBlender.html