As noted above, much depends on the fuel. Forge fires of bituminous coal, charcoal, wood, and corn generally are able to sustain themselves without a constant supply of air, so you have a choice. Anthracite, on the other hand, Will Go Out if it doesn't have a steady stream of air at all times.
My own forge setup has an electric blower on a variable transformer (variac) that adjusts the speed. If I'm burning anthracite, that's all I need. If I'm burning bituminous (especially on smaller jobs, as Kevin Olson notes above), I'll add a "deadman" switch to the electric supply to the blower, so that it only runs in I'm standing on the pedal. As ThomasPowers says, it saves a lot of fuel to only run the fire when you have to.