I agree with Simple in that I've never seen blue fire engine lights and been to many states as well. Maybe it's out there but still. I would not want to be noticed by a cop, or at least in California I think you'd be off to jail.
Found a really good article on this subject. Here is an excerpt:
"Amber lights are legal on emergency vehicles. The amber light also sends a very specific message to those who view it: danger, caution & stay away. A driver who is drugged, drunk, elderly, tired, fatigued or confused will avoid the vehicle displaying the amber light. Amber also travels through fog, rain or snow much farther than red, blue or clear. In California ALL emergency vehicles must display at least one amber light to the rear. Federal ambulance specs required one amber light on the rear of all new ambulance. NFPA fire apparatus "blocking mode" status recommend AMBER lights. (Phoenix Az allows ONLY amber when parked) Why are fog lights amber? Why does the FAA require amber on airport vehicles? Why does DOT use amber?
The NY State Police conducted tests on the vehicles equipped with the "Street Hawk" light bar back in 1991. They now have an amber lens on the driver's side rear flashing light position in the bar. 15 to 20 Cars were struck while parked on the side of the road with only red lights on.
Other New York State agencies reported between 75 and 90 vehicle struck while parked NEXT TO the highway annually. After amber was installed, and the rotating red lights were shut off, Not one NYSP car was struck in three years while displaying the amber light with the rotating reds shut off! As time has moved along the troopers are again leaving the rotating reds on along with the amber and more cars are being struck! NYSP have equipped most of their cars that work the interstates with "arrow sticks" in the back window. The 2002 NYS State bid "Federal Vista" light bar has a built in arrow stick. It works more effectively when the red rotators are shut off by sending one message - caution, danger and stay away! Inside the trunk one light is now amber."
Link to full article:
http://www.policedriving.com/article145.htm