Bending notes is one of the classic sounds of Blues lead playing. Players such as BB King, Buddy Guy, Otis Rush, Albert King and Stevie Ray Vaughan are all great note benders. Bending helps to add emotion and intensity to the music as well as giving your playing a much more vocal quality.
A bend is achieved by fretting a note and then pushing the string sideways across the fretboard towards the adjacent strings. One important point with bending notes is to use a supporting finger behind the finger you are using to make the bend. This gives you more strength as well as more control. The symbol for a bend is a curved arrow accompanied by the symbol "B".
When bending notes, it is also helpful to have the thumb of the left hand right up over the edge of the neck to help push back against the pressure of the fingers.
Here is an exercise for developing your ability to bend notes. Make sure you reach the exact pitch you are trying to bend to. In this exercise you are bending from D to E on the third string and then playing another E on the second string.
Listen carefully to make sure your bent E note is not sharp or flat. Try recording yourself bending some notes and then listen to the recording to check the pitch of your bends.