I'm surprised no one has suggested indigo to you yet.
To my amateur knowledge there seems to be two types -
the green powder may be a little problematic
and seems to take some serious sleight to its use.
The blue crystallized processed indigo powder seems to work great -
the pictures I've seen of soap made with it look absolutely wonderful.
Doesn't take much either, from reports.
I know I've seen it for sale on soap-making-resource.
I have made soap with ratan jot just last night, and right now its more blue than the purple I was expecting so that MAY be another alternative.
The best indigo picture I've seen is
http://www.thedishforum.com/forum/index.php?showtopic=160819&view=findpost&p=2857122.
I've spent quite a few hours in the past week or so looking into blues and that was the best picture of what could be accomplished.
Here's a thread here with a little bit of info as well
http://www.soapmakingforum.com/forum/viewtopic.php?t=25416&sid=1f08d9efb8774340680a3eed1a418399.
There's one more thread *somewhere* that details the problems between green powder and blue powder and has examples of the soaps made with both but Im afraid I cannot find it atm, sorry.
Good luck with your blues!
EDIT: I should add that I also have a batch of soap made at the same time yesterday with green indigo powder, and while it did at various times produce blue stained cloths in previous experiments, the soap came out green rather than blue. I haven't figured out the exact process that needs to be used for the green powder, so I advice buying the blue processed powder instead unless you like to experiment