thats because .gif's dont support alpha transparency. Therefore, if a pixel is over 50% opac, it will show as solid. Which really sucks.
The way around this: Use a .png, any modern browser will support it, such as firefox, opera, and even some others. But IE has a lack of support, and shows the background as white. This is a pain in the ass for designers, because you can do so much with .png images that you just cant do with gif or jpg.
Anyway, yea i dont see the blue, and i think it looks better in that format then in .jpg. Try png though, its really good for this kind of stuff.