A state whose voters elect primarily Democratic candidates. It is the opposite of a red state.
There are different levels of how ‘blue’ a state can be. If a Democratic candidate wins the vote in that state, that state has ‘turned blue.’ If a state votes for a Democrat in nearly every statewide race, it could be considered a ‘deep blue’ or ‘dark blue’ state (New Jersey, Oregon, Vermont, etc.). If a state typically votes Democrat but will occasionally vote for a Republican, they are known as a ‘light blue’ state (Virginia, Pennsylvania, Wisconsin, etc.).
There is no hard and fast rule as to what makes a state dark or light blue. Some people may consider Colorado or New Mexico light blue states, and others may consider them swing states. Conversely, some people may consider Maine or Minnesota dark blue states, but others may consider them light blue due to their potential to switch in an upcoming election.
The electoral map in 2016 shows what states went red and what states went blue.