Middle Earth: Sunset of the Fourth Age
The Blue Wizards were two of the five powerful maiar sent into Middle-Earth during the Third Age to battle the rising darkness.
Little is known of them, as they passed into the far east and were not seen again during that Age. It was suspected that they had failed in their mission, and instead formed cults that outlasted the fall of Sauron.
For more information, see The Blue Wizards on the Encyclopedia of Arda.