An excellent thread.
A couple of things worth noting in addition:
If your camera has a dial with PASM settings, then "A" puts the camera in to Aperture Priority mode. You should then be able to set the aperture directly. While covered for a Canon earlier, all cameras with PASM modes work like this.
Depth of field also relates to sensor size. The following will all give the same depth of field.
Fuji X20 (2/3 sensor). F2.0
DSLR with an APS sensor. F5.2
DSLR with a full frame sensor. F7.9
So if you have a compact camera you might find it difficult to get very blurred backgrounds. It is still worth experimenting with though and can be fun.