I have a bosch jigsaw

There are two types of "quick release" mechanisms on the new Bosch jigsaws, the twist-top handle found on 1587 models, and the lower-lever found on the 1590's. 
The "twist-top" is the black cap on the 1587 at the front of the saw. You must first put the orbiting control ( on the side of the saw ) to position number III. This releases pressure on the blade. Then you lift the black cap, rotate three or more turns counter-clockwise ( as seen from the top ) to release the locking mechanism. If the saw blade is cool, you can carefully remove it with a single one-quarter turn using your fingers. If the blade is still hot from sawing, use a pair of pliers, but be gentle. Hot blades can bend easily and jam.
The 1590 models are quite a bit easier. You still want to put the orbit control to position III to release pressure. But the quick-release is a simple flick of the black switch on the front face of the saw. 
I still have my 30 year old Bosch with the screw-in blade holder. It still works and the saw still runs smooth as a sewing machine. If you are doing a lot of production work where you need to change blades frequently, the Bosch 1590 is the clear choice for quality and value. In thirty years of using Bosch tools, I have only had to do normal maintenance and had only one minor failure, which was the blade changing mechanism on the 1587 model. I broke it by tightening too far. SO, if you have a 1587 model, DO NOT OVER TIGHTEN. As it is, this non-warrantee repair only cost $16 bucks and took two days.
It should go without saying, but just to be safe I'll say it anyway... OBVIOUSLY, you should UNPLUG the tool when you are changing blades. Good luck!