Blue notes are pitches sung or played slightly lower than they would be in a standard major scale, giving the blues its characteristic sad or tense sound. They fall mainly on the third and seventh notes of the scale, and often on the fifth as well, so in the key of C the usual blue notes are E-flat, B-flat, and G-flat.
Because the blues began as a vocal style, singers and instrumentalists often bend or slide into these notes rather than hitting an exact half-step, so a blue note can sit between the major and minor pitch. Britannica describes the blues as having melodic emphasis on the flatted, or blue, third and seventh notes of the scale, with instrumentalists imitating the voice through bent notes (Britannica).
Source: Encyclopaedia Britannica, blues summary
Image: Blues guitarist Josh Smith performing in Tarzana, California. Photo by Marc Cooper, CC0, via Wikimedia Commons.