The type of semiconducting material used to make the LED (Light Emitting Diode) determines what color of light it will produce. It turns out that you can make red using fairly common materials (I don't recall which ones, however). But the blue LED has long been sought after due to the small wavelength allowing far greater storage capacities than red (which has a longer wavelength). Blue was only (relatively) recently discovered/invented and not too long ago they could barely get one to last more than a few hours. Now they are commonly produced. The materials required are still fairly exotic (compared with silicon, anyway) and so they are more expensive. Plus, the company who discovered it has a patent on the method (IIRC) and so there are royalties involved.
I read an interesting article on the history leading up to the discovery of the blue LED - all the different methods tried, etc. It was fascinating although, unfortunately, I can't recall where I read it (Scientific American?).
It has to be said, though, that the blue color given off by these LED's is particularly cool looking. It's like a deep blue neon color.