The main thing is not to compete with your own eyecolour - while blue eyed people CAN wear blue eyeshadow, it's important not to pick a shade of blue that is the same as your eyecolour.
Best thing to do it look at a colour wheel (you can get them at most art stores). Colours that are at opposite ends of the colour wheel will provide the strongest contrast, and bring out that eyecolour the most. For example, the opposite of blue is yellow/orange, so a gold eyeshadow will really bring out the blueness in blue eyes. You don't always have to go with that colour exactly, a gold toned eyeshadow, or one with some gold in it, will work just as nicely.