Writing about how links look for my new textbook, I needed a sentence on why links are blue. From a very short Google research, it seems that it was Tim Berners-Lee himself who made the decision. In a 1993 screenshot of his WorldWideWeb browser, the links are blue.
Word of caution, though: he writes that the first versions were in grayscale only. In 1993, when the color screenshot was taken, there were other Web browsers available: Viola, Cello, OTHerwise, Lynx, Samba, Arena, Midas, and Mosaic of course. I remember Mosaic had blue links and gray background. Berners-Lee could have taken the color from one of the others when converting to color.
According to a paper by Weinreich, Obendorf, and Lamersdorf at Hypertext 2001, Mosaic used blue as it was the darkest color (after black) of the 16 standard colors on early systems. (Their source is a NCSA page that is no longer available.) That makes sense, and could independently have been Berners-Lee's reason.
It is also far from unlikely that the blue color was already used in an earlier hypertext or screen-reading application, and that Berners-Lee followed a tradition.
Does anyone know more?