I spoke to one of the doctors I work with. He says that the blue fingers can be caused by a sympathetic nervous system dysfunction. (See the
warm leg post here.)
Google search
Sympathetically Maintained Pain.
This doctor has seen this a few times. It sounds like Hucky's question does not concern pain... just annoying cold or blue fingers. The doctor suggested that if the problem was more than just annoying, a
Stellate Ganglion Block may be a useful diagnostic tool. He also suggested that calcium channel blockers are sometimes effective for sympathetic nervous disorders.
I hope this helps... all the best...
Mark