I suppose the simplest advice I can give is to play to win, don't be disheartened when you lose because you will (a lot) and always try to learn. Try to never let a match go by, win or loss, where you don't learn something. Maybe it's a new tactic, maybe it's a read on an opponent, or maybe it's just a "damn, that was dumb.. I'm not gonna do that again."
As for more specific stuff, I'd say make sure you're learning the right things. Learn how fighting games actually work instead of just relying on what is passed off as a training mode in most of them. Being able to do all of those fancy "training mode" combos won't do you any good at all if you don't understand the basics of space control, move properties, conditioning your opponent, basic punishes, etc.
If you're looking for some sources to learn from, I would suggest checking out this basic video on Street Fighter (it's a tutorial for Super Street Fighter 2 Turbo, but the main tenets still apply):
https://www.youtube.com/watch?v=d0cFs5mHQC4
I would also suggest going to Youtube and checking out the UltraChenTV channel. Pay special attention to the First Attack series of videos. Great stuff for learning.
As for what fighting games to try, I'd say you've actually got a really good start with what you have. SF4 is the most widely played fighting game in the world. It's not really regarded as technically the best by many experienced players but because so many people play it, it's easily the most explored and researched game. It's also a great building block given that most other 2D fighting games can be reduced to "it's like in SF, but.." BlazBlue is also great because it can be viewed in many ways as a more advanced SF. Once you have the basics in SF down, getting better at BB will likely end up making you better at SF and can be a gateway into games like Marvel VS Capcom if you're interested. It also opens up the entire ArkSys catalog including the coming Persona $ fighter expansion and the new Guilty Gear game.
If you ever want to get into 3D fighters, you can't go wrong with Virtua Fighter 4 or 5. They're kind of clunky as games and they feel pretty archaic, but they're cheap and the tutorial/training mode is so good it's worth a purchase even if you never touch the actual game.