"My favorite color is..." --> "Ma couleur préférée est le..." -- "mah koo-luhr pray-fay-ray eh luh..." All colors in French are masculine when used as nouns. (Even rose is masculine when it's the color rather than the flower.)
Blue is the color which embodies French culture. Specifically, blue is one of the colors in the French flag. Additionally, it is the color of the French national soccer team. In fact, the French team fondly is called Les Bleus ("The Blues"). The pronunciation will be "ley bluh" in French.