When you’re hit out of the blue, something (usually bad) happens without warning. I assumed this phrase refers to aerial bombing during a war. But Phrase Finder say it comes from an older “bolt from the blue” referring to lightning.
The earliest citation is Thomas Carlyle, in The French Revolution, 1837: “Arrestment, sudden really as a bolt out of the Blue, has hit strange victims.”
Another variation is “out of the clear blue sky.”