Yep, a whole lot of models (most?) don't have an aperture, so there's only zoom to play with. On models that do have an aperture, the useful range is very limited and you just won't get the same effect you get on a DSLR with large sensor and lens. That's not Canon's fault, it's because the sensor is tiny and has a lens that matches it.
That said, the aperture setting on e.g. my a570is definitely does make a difference, especially in macro shooting. To get a blurry background (bokeh if you wish) from a tiny camera, you basically need to go very close to your target and focus in macro mode with full aperture.
