What causes a shock, and
why does it make blue sparks?

I think you are talking about static electricity, which you might generate by walking over a thick carpet. Your shoes rubbing against carpet fibers give you an electric charge by picking up extra electrons from the carpet. Then when you touch something like a doorknob, the extra electrons leave in a hurry and you feel a little shock.

If all this happens in a darkened room, then you also may see a little spark that goes with the shock. And I think you are right: the spark looks blue. Before your fingers actually touch the doorknob some of your charged-up electricity jumps across through the air. That makes the spark.

Air does not carry electricity very well. It is a good insulator—until you get a great enough voltage over a short distance. Then some of the molecules of air become ionized, meaning that they become electrically charged.

Every kind of atom has its own characteristic color. You have seen the red color of neon signs made by ionized atoms of neon gas inside. Air is mostly nitrogen, and I think the blue color of the spark comes from ionized nitrogen atoms.