A very rare blue lobster was found by a fishermen in King Edward’s Island in Canada in 2011. The rarity is about one in 2 million and some estimates say it is one out of 4 million. The blue is due to a rare gene. Due to its rarity, the lobster will be kept in an aquarium and will not be eaten. But if it were to be cooked, it would turn red just like regular lobsters.
Besides blue lobsters, there are also blue crayfishes (also rare).
See pictures in these sources: Nationalpost.com and MSNBC