You are looking of any animals that use hemocyanin as an oxygen carrying molocule, which has copper as a basis for its oxygen carrying capacity. These include the blood of most molluscs, and some arthropods as mentioned horseshoe crab. This oxygen carrying molocule is colourless when unoxygenated but blue in its oxygenated form. You could choose the vampire squid, the horseshoe crab and the lobster as three nice examples. And if you want more detailed information on the blue colour do some research on hemocyanin as a respiratory pigment.