I'm pretty sure you're after Baoh:
http://en.wikipedia.org/wiki/Baoh
http://www.animenewsnetwork.com/encyclopedia/anime.php?id=259
I rented that from the Blockbuster, and it involved a blue monster. ANN doesn't list a studio, but this is one of the big OVA boom titles where a lot of little studios were getting together and just putting stuff out because people were buying it. I remember it being fairly mediocre, but not like... MD Geist or something.
It was released by AnimEigo in the US on dvd in 2002. It doesn't seem to be in stock at any of my favorite retailers, though.