Any. Blue. You. Want.
I usually opt for enchanted blue with highlights up to a near-white. A lot of people would recommend a darker colour to start though, especially if you're planning on painting them entirely blue (think ultramarines).
For my own Slaanesh Chaos Warriors I left the majority of the armour almost entirely dark dark purple (almost black) which is just the basic Liche purple with some black added. I then added highlights along the edges of the armour working up from Liche Purple to 50/50 Liche Purple and white.
I just relized I have no pics up of them that really show this off but
http://www.dakkadakka.com/gallery/116689-Silver%20Warriors%20Of%20Tzeentch.html is a good example of fairly easy-to-do Tzeentch (not mine obviously).
I hesitate to give advice on which blues to use together to get a certain effect. I personally choose a colour and then add white,yellow or bleached bone (for purple, blue, and other cool colours its usually white, yellow for green/red, and tan for browns) for highlights. This creates the cleanest progression from base to highlight
IMO and is pretty easy.
Disclaimer: It takes a while to get the hang of mixing up the right brightness, especially between painting sessions. Also, lots of paint dries up and is wasted if you're constantly mixing instead of using a brighter colour from a pot.
I hope this helps at all.
PS: For tzeetch, the main colour doesn't have to be blue. If you're feeling brave, a Orange/Blue/Red theme could be very striking. Using a bit of blue would tie it to classic tzeentch stuff.