That's right, the lobsters that we consider a food of the rich (which used to be considered trash food, or food for the poor, and there were laws about how often someone could feed them to their servants) have a 1 in 2 million chance of a mutation that gives them blue pigmentation.
It is a mutation that causes an overly large amount of a specific protein that combines with the red carotenoid molecule, turning the lobster blue.
For information on Toby, a blue lobster that found a home at the National Aquarium in Washington DC, check out: http://www.aqua.org/press/news/2012/12-6-19-blue-lobster-nadc
Other color variation are:
Orange at 1 in 10 million odds
Yellow at 1 in 30 million odds
Orange and Black calico at 1 in 30 million
Split color varieties at 1 in 50 million
White at 1 in 100 million odds
Info about the process by which lobsters get their color can be found here: http://freshscience.org.au/2009/1389
For you history buffs, check out the history of the Lobster here: http://www.lobster.um.maine.edu/index.php?page=52
For more information on the biology of a lobster, check out: http://www.lobsters.org/tlcbio/biology.html