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Actually, the blue screen is NOT normal. I had the same issue with my MacBook Pro (not really an issue but...). All I had to do was reset my PRAM and it solved the issue. If resetting your PRAM doesn't work, I don't really know what to suggest because that's what solved it for me.

Here's the instructions on resetting your PRAM from Apple:

Resetting PRAM and NVRAM

1. Shut down the computer.
2. Locate the following keys on the keyboard: Command, Option, P, and R. You will need to hold these keys down simultaneously in step 4.
3. Turn on the computer.
4. Press and hold the Command-Option-P-R keys. You must press this key combination before the gray screen appears.
5. Hold the keys down until the computer restarts and you hear the startup sound for the second time.
6. Release the keys.

Your computer's PRAM and the NVRAM are reset to the default values. The clock settings may be reset to a default date on some models.
 
I don't know when my Macbook start showing blue screen as well ... when I bought this Macbook early January, everything is fine ... I have tried reset PRAM and some other clean caches....nothing help ... it is a little bit annoying for MacOSX Lion to show something like this...if this is a Windows Laptop, I can understand.
 
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