To make up for the "blue-footed booby" post (P.S. there is also a red-footed booby and a brown booby and several other types of boobies, all of which stopped being WTF when I read about them in 3rd grade), here is something that is blue, in nature, and also WTF.
The Vervet Monkey.
Fairly normal-looking monkey. Very common in it's native habitat, which is southern Africa. So common, in fact, they are classified as vermin. Sources indicate that this monkey must go through life in constant danger of being killed by people. In South Africa, this creature can be killed in any method without previously obtaining a permit.
There are several notable features of the Vervet, however. One is that the Vervet Monkey seems to possess what has been called the "rudiments of language". Vervet Monkey alarm calls vary greatly depending on the different types of threats to the community. There are distinct calls to warn of invading leopards, snakes, and eagles.
Another is that they have really adorable babies.
(Especially when albino)
And finally, male vervets have bright blue balls (try saying THAT five times fast).
South Africans commonly refer to this shade of blue as "monkey ball blue". The pigmentation of the male Vervet Monkey's scrotum is a vivid blue that pales when the animal falls in social rank.
For a highly scientific and amazingly unneccesary explanation of how the blue color is controlled, see this pile of scientific jargon: