Out of the blue
She called me and out of the blue cancelled everything. This implies that her decision was totally unexpected. Such surprising events are often found at the beginning of films as they are a good way of getting a story going. Someone is leading an ordinary life, following their daily routine, when out of the blue everything changes, they lose their job or whatever, and new events take over.
The blue in the idiom is obviously the sky. There is a clear sky with no sign of anything about to happen and, then, amazingly there is rain, something falls to earth or there's a sudden flash of lightning or peal of thunder.
The last seems improbable but can happen and does seem to be the origin of the idiom as there is a related expression suggesting something even more dramatic and unexpected: like a bolt from the blue, a bolt of thunder or lightning that you could never have predicted from the perfect sky that arrives and startles you. The restaurant was doing so well, then like a bolt from the blue the building owner wanted to double our rent.
Blue has a very wide range of meanings in English and you could spend a long time tracing all the idioms connected with it: blue with cold, blue language (swear words), the blues (feeling sad), blue-collar (physical labour), blue riband/ribbon [cordon bleu] (excellent cookery) and blue chip (a very safe investment).
Cream of the crop