From The Wikipedia Article
In humans and other hemoglobin-using creatures, oxygenated blood is bright red. This is due to oxygenated iron in the red blood cells. Deoxygenated blood is a darker shade of red, which can be seen during blood donation and when venous blood samples are taken. However, due to an optical effect caused by the way in which light penetrates through the skin, veins typically appear blue in colour. This has led to a common misconception that venous blood is blue before it is exposed to air. Another reason for this misconception is that medical charts always show venous blood as blue in order to distinguish it from arterial blood which is depicted as red on the same chart.

The blood of horseshoe crabs is blue, which is a result of its high content in copper-based hemocyanin instead of the iron-based hemoglobin found, for example, in humans.