I have a light switch in my den with green, blue and two black wires.
One black wire powers the ceiling fan. The other powers the fan light.
I was changing a fan light bulb when the bulb came apart. There was a flash and a bang and now the light doesn't work anymore.

I thought I had blown the fan light fitting so I got a new fixture but the new light didn't work either.

So started tracing back where I had still had power.
I found that just one of the black wires in the wall switch no longer has power.

The fuse for that room is still good because the fan works, as well as the high hats.

I presume the wire itself can't have 'broken' (right ?)
Can anyone tell me what has blown that would be between the switch and the fuse box ?

Sounds like you burnt up the switch itself. It's a good opportunity to upgrade to a dimmer / fan speed control if it was just a switch before.