While we are coding we used to delete blank lines with 'Shift + Del'. Shift + Del shortcut is same as 'Ctrl + X'. And if you copy something to clipboard before cutting the blank lines, it will be replaced by the blank line.

You can change this behaviour with VS 2008 settings. Tools > Option > Text Editor > All Languages (or just for specific language) > Uncheck 'Apply Cut or Copy commands to blank lines when there is no selection'