Though highly sought after, no blue roses exist yet. Some roses are advertised as blue, but they are actually lavender or something. Most lavender roses are difficult to grow and are quite susceptible to disease.
Some of the bluer roses are Blue Girl, Blue Jay(HT), and Reine des Violettes(HP). A couple of true purple roses are Cardinal de Richelieu and Veilchenblau.
The genetics are just not there for producing a true blue color in roses. It will probably be necessary to use gene splicing to produce the first blue rose.