If you are sad and describe yourself as "feeling blue," you are using a phrase coined from a custom among many old deepwater sailing ships. If the ship lost the captain or any of the officers during its voyage, she would fly blue flags and have a blue band painted along her entire hull when returning to home port.
Update: The closest you will get to seeing appreciable amounts of blue on a modern US Navy ship is if one has recently sailed above the Arctic Circle. This rare “Bluenose” cruise would generally be marked by painting the ship's bullnose blue. These cruises were more common during the Cold War (no pun intended).