The Horseshoe crab’s blood is blue because instead of using hemoglobin to transport oxygen they use Hemocyanin. A protein that uses copper to transport oxygen. A lot of other underwater creatures have blue blood too.
Normal vertebrates use white blood cells to protect themselves from infections. Invertebrates use amebocytes (mobile cells) to fight off infections. The amebocytes found in Horseshoe crabs’ blood can coagulate (solidify) as little as one part in a trillion of bacterial contamination. That is ridiculously accurate and useful to find bacterial contamination in medicines and medical instruments. A quarter of a million crabs are harvested each year for their blood which costs $15,000 per liter. (Source)