I am a wedding florist and have so far had two or three weddings this year with the colour blue. One bride had Delphiniums in blue and they worked well because they are very soft and floaty and therefore give hint of blue without being to solid.
The other way is to use ribbon, feathers and crystals. I have used these as well as some blue flowers.
There is a blue rose but this is usually dyed and can come off on your hands not to mention your dress! This roses can be very artifical and not very nice.
Good luck with your wedding and finidng your flowers.
Rose Blossom The Florist. www.roseblossom.co.uk