I used the program Picasa, which allows you to filter images by their color information, to do a search for images with blue as the predominant color. I scanned only about 15,000 of my images, but they represented different geographic regions and groups of animals, and thus were representative of my entire image collection. Naturally, I got a lot of hits with blue sky or water, but also a few photos showing blue animals. The most surprising thing was that nearly all blue animals were from the New World: morpho butterflies, Coprophaneus dung beetles, blue crabs (Callinectes), and poison arrow frogs, to name a few. The only non-American species that came up in the search was a Japanese mud crab Ilyoplax pusillus.
Now, there are many animals in Europe, Africa, and Asia with blue colors (lycaenid butterflies, blue-winged Oedipoda grasshoppers, Blue Tits and other birds etc.), but I cannot think of anything that rivals North American bluebirds or morphos. This makes me wonder if the evolution of color classification schemes in human languages that was mentioned in the Radiolab program might have been different among Amerindian tribes that are routinely exposed to blue animals. The only examples of languages that lacked a specific word for blue came from Africa, and the historical examples of languages that coined this word late in their evolution came from Europe. I need to read up on this.