Shortly after the release of Sonic The Hedgehog, a slew of platformers starring characters that were either blue* or wore blue were released.
For awhile, I thought they were merely trying to cash in on Sonic's popularity, but that turned out to be a half-truth.
As it turns out, blue is an AMAZING color for a protagonist, particularly a fast-moving one. No matter the environment, blue will always stand out, giving players something that their eyes can easily track.
*High Seas Havoc, Socket, Rocket Knight Adventures, the Tiny Toons Adventure games, etc.