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We want to investigate the Cohen-Macaulay properties of various Rees algebras of \\(A\\) with respect to \\(I\\), namely the multi-Rees algebras \\((R_A({\\mathcal I})_r))=:\\bigoplus_{{(n_1,\\dots,n_r)\\atop n_i\\geq 0}}I^{n_1}\\dots I^{n_r}\\), the Rees algebras of powers of \\(I\\) \\((R_A(I^s))\\) and the ordinary Rees algebra \\((R_A(I))\\).    In the first part of this paper we will discuss how the Cohen-Macaulay properties of \\(R_A({\\mathcal I}_r)\\) and \\(R_A(I^s)\\) are related. We will describe situations in which the Cohen-Macaulayness of one of these algebras implies the same property for the other one in terms of the \\(a\\)-invariants of the corresponding form ring \\(G_A(I)\\). In particular, we will show that both implications always hold under the assumption that \\(\\text{depth } G_A(I)\\geq \\dim A-1\\).    In the second part of the paper we will address the question when the Cohen-Macaulayness of \\(R_A({\\mathcal I}_r)\\) or \\(R_A(I^s)\\) implies that \\(R_A(I)\\) is Cohen-Macaulay, too. To investigate this question, we will concentrate on the case that \\(A\\) is a Cohen-Macaulay ring of dimension at most 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