Self propelled blood has been used many time in fiction to explain why rival characters cannot be killed. An example would be a manga named The Throne of Super Man (Choujin Sensen). In the manga though, the details of the process are not specified. Isaac Newton, one of the antagonists, said that he can control the speed of the blood in his body. He is one of the CARBANOIDS in the series. They are carbon based robots with personality and mental traits of the historical figure they are named after. Possible ways the could happen are the oxygen-carrying nanite particles move throughout the vessel
I'll just assume you're asking for a scientific/biological answer. That answer will most likely involve flagella. Lots of little buggers have them and it allows the tiny critters to swim about in a fluid medium.
Pros: blood cells so equipped could move under central direction to organs or systems where they're needed most. They could also be sent away from an area where they shouldn't be, a gaping wound, for example.
Cons: locomotion requires a shitload of energy, which means, even at rest, someone with fully self propelled blood is going to be expending vast amounts of calories, producing large amounts of waste heat and waste matter. Blood cells don't live long anyway, so equipping them all with the capability might not be such a good idea.
Possible solution: create one (or more) additional types of blood cells. Keep the plasma and ordinary RBC/WBC as is; but create other types of cells that are self-propelled and give them distinct functions. Perhaps some of these can be hypervigilant immune cells, seeking out and attacking cancers, foreign biologics, etc. Perhaps some can be anti-laceration first responders: whenever the local BP drops precipitously due to vessel rupture, these cells rush to the wound and begin spinning a clot. Another class might be super-oxygenators: these, when the ordinary chain of muscle metabolism is pooped out, rush out into the system with a supercharge of nutrients and oxygen.
Controlling the speed of the blood: This will still mostly be a function of heart rate. Self propelled cells might be coaxed to swim faster (or slower) depending on hormone mediation.