In the Middle Ages and the Renaissance, the deepest blue there was, ultramarine, cost more than gold. And it came from a single stone: lapis lazuli.
That stone was mined almost exclusively at Sar-e-Sang, in what is now Afghanistan, and travelled thousands of kilometres to reach Europe. The name says it: ultramarine means beyond the sea.
Because of its price, painters saved it for the most sacred subjects. That is why the Virgin's mantle appears so often in that deep blue: it was not an aesthetic decision alone, but also a way of showing how much the figure portrayed was worth.
Source: The Metropolitan Museum of Art