Ok, that's sort of good news, because it means they probably all have the same problem.
Things to try:
Load one of your CSS files directly, as in
Does it load? Then it's not a permission problem on the theme files (unless the PHP files don't have execute permission, this wouldn't check that).
Check the path. If you're using the default theme, it should be loading some images as backgrounds. In Firefox, go to your Tools->Page Info -> Media and see what images it's trying to find. Is the path right?
Are the paths right in the links in your WP Menu? If not, you might just have things set wrong for you site entirely. Go to your general settings in WordPress and make sure that WP is set to example.com/blog as its root directory.