Regarding "the blues" as in depression or the music, the "Morris Dictionary of Word and Phrase Origins" by William and Mary Morris says it's believed this expression came from "...an abbreviation of 'blue devils' -- hallucinations, like pink elephants, popularly believe to accompany delirium tremens...the term blue in the sense of melancholy, depressed or despondent has been an element of slang, especially black slang, since midway through the past century.