There are three Chicken breeds that lay blue eggs: Ameraucanas, Araucanas and Cream Legbars. The blue color is created by oocyanin, which is applied early in the laying process. The blue pigment goes right through the shell, unlike the brown pigment. So blue eggs are blue inside and out.
I have heard of certain recessive strains of Coturnix can lay white eggs and even some blue eggs. I have even heard of light green eggs in Coturnix quail too.
Interesting stuff!