Blue anodized

Buy it from different sources, in different colours if needs be, then get your local annodiser to strip the old finish off and annodise the bits whatever colour you want.

This is probably the best way.  If you have a specific shade in mind, some places are adept at color matching but it's never 100%.  The best way is to find a piece in the color you want and send it along with everything you want anodized.  Ask them to match the specific piece the best that they can and anodize everything that color (including the original piece).  It costs a few more dollars in that they'll charge you to strip and anodize the one piece, but well worth it IMO.

I've always had luck with guys who focus on paintball anodizing.  Custom work is VERY common in the pb world.  These guys do a lot of color matching, fades, splash anodizing, etc.  The sky is the limit there.

Is that cost effective? I really wanted to have some stuff done in a few colors for a build. 

Depends upon your definition of "cost effective" and how badly you want things to be a perfect match.  To get the best finish possible, parts need to be polished after they are stripped.  If not, the parts will not look as nice.  @Tokyo Tiddler has some good info on anodizing in his RC250 build thread.

Blue is one of the most finicky colors to get to match. Batch to batch will vary, even on the same parts and process. So the only way to hope for a good match is to get everything done in the same batch, and preferably on the same anodize rack (e.g., all goes in the tanks at the same time).

The problem with this is that different alloys will anodize different colors. 6061 will be rather different than 7075, and there's not much you can do about that. You'd need to separate parts by alloy and try to match them in two different racks. They will never match perfectly, but a good andoizer can get them close. The hard part here is knowing which parts are which alloy. 

Before you can anodize anything, though, it has to be stripped. A lot of anodizers will chemically strip parts quickly, which leaves a rough surface finish and looks like garbage. They need to slow strip it in a less harsh chemical mix. 

After stripping, you'll need to polish or at least brush the parts with Scotch-Brite to get a consistent finish.  Parts that had laser etched logos or markings will need to have those polished out as stripping won't get rid of them. The etching is deeper than the anodize layer.

Anything that was tightly toleranced (bearing bores, etc.) can be thrown off if the stripping and re-anodize is not done carefully. 

Any parts that have other metals pressed into them wil need to have those removed. You can only anodize aluminum. Anything else in the tank (aside from maybe titanium) will ruin the anodize tank and/or part and result in an angry anodizer!

Typical stripping cost is $100 per lot.

Typical standard anodize cost is $150 per lot.

Typical electropolish plus anodize is $300 per lot.

In the end, it's a difficult and relatively expensive process that probably won't yield great results. Your best bet is to buy parts in-person and visibly make sure they're close to matching. 

Where are you getting it done that it's difficult and expensive? You can do it at home with a battery charger, some battery acid, Rit-Dye and a kettle. The only reason I don't do my own is the quantities I take to the annodiser they charge me beer money, and strip old finishes off for nothing. It can be stripped off at home slowly with a basic floor cleaner if needs be. It isn't hard.

Lol, there's a right way to do it and a half-assed way. I've done my own anodize batch once just to understand the process as I was considering doing it in-house. That one batch convinced me there's a lot more to it if you want it done right! 

I've had tens of thousands of parts anodized in a variety of colors and finishes over the last 20 years and I have a great relationship with our current anodizer. Just sharing my experiences as to what it takes to do things correctly to achieve the OP's goals. Prices I listed are standard costs here in California. You may have a hook up that's cheaper, good for you!