I took DH to see it in Boston a few years ago for his birthday and we both loved it. It's a very entertaining show, and the blue men are actually very talented. One word of advice - do not arrive late! It's also best if you can get seats on the floor in front center - we were in the first row of the balcony and it was great for watching the show, but a little disappointing at the end of the show (don't want to give too much away!). Of course, that's all assuming that the show hasn't changed much in the last few years.
DH really wants to go back again. He was selected before the show began to go onstage and participate in one of the skits and so he was so nervous the whole time he couldn't fully appreciate the show until after his part was over. He liked it so much he wants to go back without that pressure.