Blue is a really diverse color. I suppose they all are, but 'blue' can mean anything from cyan all the way to indigo. There's a lot in between.
Ideally, it's good to pick colors for a reason; @Bakabaka's link in his comment gives some insight into color theory and the psychology of color. If your client has a logo or brand, it'd be really smart to pick blues that complement the brand's color scheme.
But if it's just a matter of picking nice shades of blue, then I find it's nice to use a site like COLOURlovers - you'll see that this link searches for palettes that contain different kinds of blue. Adobe's Kuler gets you some nice palettes as well.