There is a lot of misinformation in this thread and people don't seem averse to repeat factually wrong advice even when it has already been corrected, so let's be definitive.
Indents and extraneous spaces (and lots of other fancy formatting) are removed by the UCAs system. Blank lines aren't removed.
Those people saying that you can detect where paragraphs end are forgetting that the most important person in the application cycle is the admissions tutor - the decsion maker. It is important to make things as easy and pleasant for the decision maker as possible. They will have literally hundreds of statements to read, and this is very tiring, frustrating process; the printed form of the PS is not all that well designed and it is a brave candidate that is willing to irritate the admissions tutor, never mind contribute to his/her headache.
A well-presented PS will stand out from the crowd of rubbish, regardless of its content, and good content will be even better received than it would be if presented inconsiderately.
Nobody is saying that you won't get an offer with a poorly-presented statement, but not everyone has a cast iron case for an offer and most people need all the help they can get, especially as things get more competitive from year to year. It is definitely not true that simply filling the space available with "important information" will enhance your application.
I always advise the use of blank lines, and still haven't seen a PS that wouldn't be improved by excluding enough text to allow their inclusion. Note what those people who have spoken to them say that admissions tutors like )posts above). I have spoken to quite a lot of tutors and they are unanimous in liking blank lines.