Marvel's why so many mutants are blue - and the most important is hardwired into the human brain.
The first blue mutant to make their appearance wasn't blue at all initially. Hank McCoy, the Beast, initially had larger-than-average arms and legs; his limbs were covered in hair but had an otherwise human appearance. That changed in 1972 with the release of Amazing Adventures #11, in which Beast mutated further and gained his distinct dark-blue fur and skin. More blue mutants would follow: the shapeshifter Mystique, teleporter Nightcrawler and Archangel (Angel after being mutated by the mutant Apocalypse, who also happens to be blue). Other more esoteric blue mutants include Maggot, Transonic and Rhapsody.
Heredity explains the color of at least one mutant. Nightcrawler was long believed to be Mystique's son, and the rumor was proved in X-Men Unlimited #4 by writer Scott Lobdell (though the initial plan was to reveal Mystique as Nightcrawler's father, with Destiny as his mother). Setting the two aside, the color blue is rarely found on non-aquatic animals in nature. It also catches the human eye because blue is one only two colors not found in human skin tone (the other being green, hence the need for blue and greenscreen backgrounds in effects-heavy films). In an attempt to make characters as visually distinct as possible while also communicating their inhuman nature to the reader, artist Jack Kirby used blue as a visual shorthand for "non-human."
There's another, more practical reason for blue mutants in comics. Prior to digital printing techniques, comic books were primarily made with four colors: Cyan, Magenta, Yellow and Black. These four colors could be used in conjunction with white paper to trick one's brain into seeing a vast array of colors (Batman's Silver Age grey suit was achieved using cyan and magenta with a yellow background, for example), but to save time and money, artists would frequently use one of the above colors as a solid. Cyan was a stand-in for blue (and magenta red), hence the perceived overuse of the color.
Digital printing is the norm nowadays, but blue is still an excellent way to tell readers that the character before them is not quite human. The color is even a source of pride for some mutants; Mystique once used her shapeshifting powers to hide her true appearance, but now rarely does so. Considering the rate at which new X-Men are added to the roster, more blue mutants will surely be on the horizon.