Well, they will blow if your heater wires are shorted out, which is nice. I suppose something could probably go wrong in a tube to blow them as well. If you are blowing heater fuses there is probably a problem and the fuse saved your power tranny from possible damage.
The first heater fuse that blew was because my power tubes were drawing more current than they were supposed too according to my amp repairer. The second one blew because I accidentally plugged my speaker cab into the amp's effects loop. The third one blew I believe on account of a worn out EL34. They had been in there a year. I replaced the fuse and installed new tubes and re-biased.