noss is right, you will get a defect if you're unlucky, not with all types of blue headlight bulbs though, mainly the wanky rice blue bulbs.
The only reason the German and prestige cars have the blue tinged lights has nothing to do with a blue globe but the type of headlight that they have.
Your car runs a basic headlight design that is on 99% of cars on the road, things like a Magna VRX run a projecter set up which gives you better coverage, then your German cars run Xenon gas discharge lights and all sorts of high tech shit like that. Basically the light is more of a pure white, so pure that it can appear blue. These lights also run at higher temps, have a longer life span, provide better road coverage, etc.
Why don't all cars have them? They're too fucking expensive, that's why.
If you're also talking about coloured lights for your parkers, well they're illegal too...
If want better lighting buy better bulbs, if you want wank factor buy cheapo blue ones.