Out of the blue - that is, the great blue yonder, as in, the sky. Not the sea. Well, er ... I'm not too sure. Confirmation, please.
It means, basically, to come out of nowhere. To not be seen coming. A surprise. There is a form for a nasty surprise, but out of the blue is generally seen as a positive idiom.
Use in Normal SpeechEdit
When someone shows up without warning.
"Would you believe it, after worrying about how I'd get in touch with her, Maya showed up out of the blue just when I needed a partner for my tennis match!"
When you get a nice surprise.
"Jeez, I passed. That came out of the blue!"