In the US, technically, it's illegal, but a lot of cops either don't know or are too lazy to care. It happens all the time. Believe it or not, there have been studies that show that headlight performance is actually impacted negatively with blue headlights. The US DOT has done tests that show that blue lights not only actually illuminate less, but they increase glare and cause a road hazard for oncoming traffic.
While cops may say it's OK, that just means that they won't give you a ticket. It doesn't mean anything about it being legal.
This is one of those things that has a gap between the law and enforcement. In the US it is illegal, an unauthorized modification of a federally mandated safety system, but enforcement is spotty. Many officers use it as an ace-in-the-hole to be able to pull your car over whenever they want. Others will write a fix-it ticket which requires you to replace the lights.
Most of all, do not fear the police, fear the lawyers. If you are in an accident at night where lighting could be an issue you will be hung out to dry. See the source, in which blacking out taillights did not get a ticket but instead the owner had to pay the lion's share of $1,800,000 out of his own pocket (will be paying until he dies).
You can paint or decal the body however you like but exterior lights are not fashion accessories.
Usually, the bluish tint is a sign of HID headlights. Stock HID headlights are completely legal, so you shouldn't worry about that.
However, if you want to be 100% sure about legality of your headlights, just check all the details with your local authorities.
UK answer: Under the Road Vehicle Lighting Regulations (Schedule 5, item 7) headlights must be white or yellow: http://www.legislation.gov.uk/uksi/1989/...
Then why are you asking us?
The light gives a aqua color. I asked a officer he said it was ok.