http://en.wikipedia.org/wiki/Tyrian_purple and http://en.wikipedia.org/wiki/Iles_Purpuraires show that blue dye was produced from the murex in ancient times in these locations. But on Ptil Tekhelet's website (tekhelet.com), they seem to admit that there is no clear historical evidence that anything but purple was produced from the murex in ancient times, and that any reference to purple snail dye in ancient writings refers to blue as well because blue is a shade of purple. Is there or is there not historical evidence that blue dye from the murex was produced in ancient times?
A host of information about this topic can be found by browsing more of the Psil Tekhelet website, tekhelet.com. A presentation of a blue murex-dyed textile can be found here. There is much more information to be seen, and it cannot all be written in this forum. As far as I know, no actual tzitzis with blue threads of any kind have been discovered. However, Murex or not, the Gemara in Menachos gives detailed descriptions of the techeles dying process, which most authorities maintain was a blue-indigo dye. Indigo, called "kala ilan" in the Gemara, was also widely used.
It should be kept in mind that most Rabbinic authorities have not (yet?) accepted the Murex dye as legitimate techies.
We know that techelet was a blue dye, that murex was used then, and it best meets the description of techelet, and [here's the last bit that eluded Chief Rabbi Herczog] if you expose murex extract to UV light, it turns blue. So it's a very logical conclusion, though not airtight.
Similarly the Talmud says that a cheapskate could use indigo rather than techelet, and only God would know the difference. Murex blue is chemically identical to indigo. Again, airtight proof? No. But it seems to fit.