You get two links initially - the home page which could have a high page rank, and the actual blog page which has no page rank.
Now, you could build some extra links to the page yourself to build up its page rank, and in most cases this is good. However, if it's your direct competition then you probably shouldn't help their site.
The main reason you guest blog though is not to build links to your site, it's to build brand awareness and gain some followers. So, don't do it unless you have some good content on your own site that could keep that initial surge in traffic.