Jig saws are designed for cutting curves.
You can cut straight lines and generally you followed the correct procedure - using a straight edge. Your picture of the cut is pretty blurry, so it's hard to tell for sure, but there are several possibilities:
The piece of wood you used as a straight edge isn't as straight as you thought. Usually one uses a metal or plastic straight edge - one that is manufactured to be straight. Either a ruler, a level, or a specifically designed cutting straight edge.
- If you're starting in with tools, wood working and house projects, get yourself a level and plan to clamp it carefully to use as a straight edge.
- Depending on the design of the level, this might be easy or difficult. Purchase one with the thought of clamping as a straight edge to get more than one use out of your tool.
You didn't follow the straight edge as carefully as you thought you did.
- Note my initial comment that jig saws are designed for cutting curves. That means that the slightest variation from dead straight will end up with a wavy line.
- You have to have a thick enough straight edge, clamped well enough, that you can actually continually pull the base-plate of the jig saw against the straight edge. If you don't, it will tend to wander off because that's what they're designed to do.
It does appear that your blade has a lower tooth-per-inch count. I'd guess it's between 6 and 9 teeth per inch.
- These blades are good for "general purpose" cutting and especially for fast cutting. They generally do not make a "pretty" cut. They generally leave a pretty ragged cut edge behind.
- If you want a smoother cut, a higher tooth-per-inch blade is what you want. Something that has 12 or more teeth per inch. Be aware, however, that these will cut slower, and are often designed for cutting metal. They will cut wood just fine, but they will cut slowly in comparison to the faster cutting wood blades.
Once you get some practice with the saw, you will get to be pretty good a following your pencil line free-hand (without a straight edge), but it's not likely that you'll ever generate dead-straight lines with a jig saw (especially not free-hand). It's just the wrong tool for the job.
Some additional thoughts:
Jig saws are used for curved cuts, but also for notching or stopped cuts where you need to cut into a board, but not all the way through from one edge to the other. You use it to cut straight in from the outside edge of the wood, straight to the corner, then you nibble away at the turn until you've got enough clearance to make a 90° (or whatever is called for) turn, then make the next straight cut. Continue this for as many interior corners as you need.
None of this is to say that you
- Can't make straight cuts with a jig-saw (everyone has agreed that it's possible, but it takes practice and it's very unlikely they'll ever be laser straight), or
- Can't use it for making full edge-to-edge cuts. Generally, though, a through cut is made with a circular saw because that's what they are designed for.
Since you've already purchased the jig saw (and may not be able to return it for refund), go ahead and use it. Make some practice cuts to get the hang of how to use it and accept that your cuts will likely never be perfectly straight. If you do need a really neat final cut, adjust your cut to give yourself a smidge (1mm or so) of room to manually clean up the cut using a different technique as noted in Joe's excellent answer.
Finally, it looks like your "option" blade is labeled "extra clean cut". That will help make a nicer cut, but what you really want is a wider blade - one that has more distance between the points of the teeth and the smooth non-cutting side of the blade. This width is what will help the blade track straighter, though it still isn't the magic bullet for straights cuts.
Another, additional thought
Some jig saws have an "orbit" function that causes the blade to move forward and back as well as up and down. The greater the amount of orbit, the faster but rougher the cut will be. This used to be a high-end feature, but seems to have made its way into the mid-range and even some low-end models. Usually, the amount of orbit is adjustable from "lots" to "none". Make sure the orbit function is turned off for a smoother cut