I guess the name Blue doesn't really reflect my overall naming style too well, but I really like it anyway. However I think it would be rather difficult to bear as a first name, because of the sad association and because it doesn't really sound very serious. Even Bluebell nicknamed Blue would be a better option instead though I'd still use a more serious middle with it. But I like Blue as a whimsical, melancholic middle name for a more classic first name, or a second middle name. I guess it's used more widely for boys, but I actually prefer Blue for a girl.
I know I'm a minority, but I really like it as a middle name for a girl. Blue has always been my favorite color and it always makes me happy so that could be why I associate it with a good feeling. I wouldn't use it as a first name.