I used to grow blue-green algae (spirulina) in my window for consumption. If I remember correctly the blue color comes from anthocyanins, and it is now used as a blue food colorant. Perhaps I should start that project back up again?
It's pretty straight forward, a nutrient bath kept at a super high pH (~10) so that nothing but the spirulina will grow. My main complaint is that spirulina's ideal growth temperature is around 82F, so you need to run aquarium heaters and air pumps (to introduce CO2). That being said spirulina can live between 20-35C (68-95F), and dies above 38C (100F). I was never sure if the electricity usage was worth the output. I'd like to revisit the whole setup with more passive heating/cooling.