I had a very similar problem on my 2006 E250 Van. I replaced the Blower Motor Resistor, but the damn thing still didn't work right (only on High). Turned out the reason the resistor went was because the blower motor itself was starting to seize up! It caused so much resistance that it had blown the resistor in the first place.
So I'd say the next place to check would be your blower motor!