Mr Blue (real name unknown) is a character in the film Reservoir Dogs. He was played by Edward Bunker. There is a chance that Edward Bunker's alias in Reservoir Dogs was inspired by a book that he wrote entitled "Little Boy Blue".
Mr. Blue's death is not seen by the viewer during the film. Joe explains in the film's final scene that he was killed - presumably he was shot by the police. In the Reservoir Dogs video game, however, it is shown that after escaping from Karina's Wholesale Diamonds, he entered a movie theatre where he was then shot by the police. This may have been his real fate in the film.
An interesting thing to note is that when Joe Cabot (Lawrence Tierney) is talking to the rest of the film's cast in the warehouse before he assigns them each of their colour-coded names, he says "Five guys sitting in a ballpen, in San Quentin". This is ironic considering that Bunker did time in San Quentin State Prison.