I am assuming you mean the cool white xenon lights, not blue like police lights. Xenon lights are totally legal. Some places may have laws on the maximum candela of a headlight.
Two points to mention:
Some people are installing Xenon light bulbs into Reflector type headlamp assemblies. This is highly dangerous, and should be considered illegal if it isnt already. Xenon, HID, and LED lights should never be installed into reflector type headlamp assemblies, only projector type.
Light adjustment. Most people dont know this is a thing, and its why you get these ding dongs blinding everyone on the road. Headlamps need to be adjusted so they point towards the road, not at incoming drivers eyes.