Our veins look blue because we are looking at them through our skin. Blood of course (as we all experience when we cut ourselves is always red). To prove that looking at our blood through our skin is what is causing the blue color, go find a red light (perhaps from Christmas lights) then get tissue paper of various colors and thicknesses. Hold them up to the red light and see how the light coming through the tissue paper changes color. This is based upon the same principle.