The Blue/Pale Blue (蒼 Ao, localized as Azure and pronounced as "Aa-jhur") is an almighty power deep within the Boundary.
The Blue of the Abyss (深淵の蒼 Shin'en no Ao, localized as the Azure Abyss and Abyss of the Azure) is the place to where the souls return and sleep. It is the final destination of the soul. A necessary step in resetting and rebuilding the world, is sending all the souls of that world back to the Blue.
Arakune is obsessed with finding the energy of the Blue. He hunts down those that exude the same energy or traces of the grimoire. Coming into contact with the energy is what caused his form to degrade into the monster that he is. According to him, Litchi Faye Ling is being devoured by the energy as well, and that she should resist the temptation to embrace it any further.
Arakune once simplified the Blue to “bioenergy” and “memories”, while according to comments dropped by Relius and Izanami, it is mostly made out of “life” and “souls”. It is also described as “the light from which the world sprang”. Roy himself specifies it as a place where memory of the man’s remembrances are kept, the place where “records” are gathered.
Yūki Terumi was able to obtain a small sample of the Blue and used it to create the (Pale) Blue Grimoire and with Relius' help, the (Green) Bleu Grimoire; both of them being fake/prototype versions of the Book of the Blue Blaze.
The perfect Prime Field, did not need the Blue Grimoire to become Kusanagi, because she already inherited the Blue.
Es is the Conciliator (調停者 Chōteisha) and the guardian of the Gate of the Blue (蒼の門 Ao no Mon, localized as the Azure Gate), and by the will of the Blue she guides the Guardian of the Blue (蒼の守護者 Ao no Shugosha, localized as Azure Guardian), who happens to be Ragna, to the gate.