I recently helped a friend set up a blogger custom domain for Australia (.com.au) and New Zealand (.co.nz) registrars.
For the most part, its fairly straight forward - you can add a cname record as detailed here http://www.google.com/support/blogger/bin/answer.py?hl=en&answer=58317.
However for some registrars in New Zealand and Australia it doesn't quite go so smoothly. The 'www' would go to the blogger site, where the naked domain still remained parked at the registrar. For instance:
www.custombloggerdomain.com would go to google blogger (yay!)
customerbloggerdomain.com would go to registrar parking page (boo!)
As usual, the registrar support system was very poor. However I found a link from google that was a lifesaver: http://www.google.com/support/blogger/bin/answer.py?hl=en&answer=55373
You have to set up an addition 'A' Record with Google's IP for the 'naked' domain and set the name for the www domain. So it should look a bit like this:
Record Type: A
Record Type: CNAME
It was the first time I had deal with both CNAME and A Records for Blogger, most large American registrars make this process easy. I suppose these particular registrars don't deal much with Google Blogger - but hopefully that will be useful to anybody setting up Blogger with a New Zealand or Australian registrar!