Almay brand cosmetics sells a eyeshadow quad with the shades that best highlight blue eyes (as well as one for brown, green etc). They have them in Priceline chemists and I've seen them in Coles etc. I like that idea because you get 3 different colours in the quad.
I've got blue eyes too and stick to netural browns mostly, and for going out I highlight them with a silvery grey around my top and bottom lash line as well, or even blue if I'm feeling adventurous.