It probably is formatted
City, State Zip
so I Find - ^p^p
Replace - ^p
no GREP required
^p is the Find/Replace dialog string fpr Paragraph return
The remove blank lines option will work (if they're really blank), and it probably is OK for this application. The problem is that it screw up the paragraph styles, so it can be a disaster if you need to use the styles for something like a Table of Contents.
There's a really long thread at http://forums.adobe.com/message/5866698#5866698 that you might find interesting. During the course of the discussion Uwe Laubender worked out a script that will remove the merge field markers and then the blank lines, and another to thread the individual frames into a single story if you need to do that.
Thanks, Peter Spier. The answer to my question is found in this document - look in the bottom 1/3 of the thread.
As I'm very familiar with data, data merging and such, but I haven't used GREP before so I needed an injection of SMART to get past this project.
I create Directories from Excel once/twice per year via Data Merge.
Good/poor or otherwise
I use the Text Stitch plugin to single story thread all the merge, change all ^p to ^n. I end up with an instance of ^n^n at the end of every "record" which I change to ^p. Nested character styles accomplish the rest