I have heard of people draining them and squirting Super-glue into the drained blister. A little cyanide never hurt anyone.

That's the way I've always done it. Old rock climbing trick. When I was regularly rock climbing, I had more superglue than skin on my hands. :)

If it's really big, I'd drain it, otherwise leave it alone.

Pop it with a pin and drain it. Keep it open to the air so it dries out. When you run use those blister plasters and wear two thin pairs of socks...and carry some duct tape just in case the plaster comes off. After running spray it with Betadine which is very good disinfectant and non greasy.
If you don't pop it, then run with it the pressure of the fluid tends to expand the edges of the blister making it bigger.
Good luck.

Because sometimes HTFU goes wrong. A small wussy blister on the bottom of a toe or foot can lead to a small change in your gait. That small change in gait can lead to tiny strains in your muscles and tendons due to compensation. Those tiny strains lead to major muscle and tendon soreness and even more compensation.

The next thing you know, you have itb issues and a pulled muscle in your back. And you are wondering why.

When HTFU goes horribly wrong.

Oh, my Gods. How bad does that sting?