If it was a decent PSU (Antec or the like), it should have a safety protection circut in it that literally destroys the device outputs prior to applying voltage. If it has protection, it is not likely any components were seriously damaged. The most I'd be concerned with is your RAM modules or mainboard. The likeliness of a CPU or drive being cooked from an output failure in this case is slim.
Anyway, I see this kind of thing all the time. It is most commonly caused by dust, because once it gets hot, it is explosive. If you saw a bit of a yellow/white explosion, it was dust. Since you said it was blue, however, it seems much more likely to be a surge or spike that caused an overload in the transformer. I hate those things... Grrrr...