<< The blue colour is just an anodised layer on the heatsink. I've read somewhere that it is supposed to improve the heat-radiating ability of the heatsink, but have yet to see real proof of it....
>>
I used to be really into paintball, and getting guns custom milled and anodized is big in that sport. Anodizing is not a paint... what happens is that the aluminum is placed in an acidic solution of sometype (I forgot the details) and the reaction makes the aluminum porous temporarily. You can then dye the metal with whatever colour(s) you want, and then the aluminum is placed in another solution (cold water?) to "seal" it up again. The dye is permanent unless you anodize it again I guess.
Enouch rambling.. Anyway, I don't think an anodized heatsink would be much different if at all with regards to heat transfer. Maybe someone else could elaborate.