High Country Gardens lists a bunch of them that could give you a good idea of what's out there. The Rocky Mountain Penstemon is a gorgeous blue, with airy spikes of large blooms. It acted like a biennial here, but our winter was rough last year, so I'm thinking that may have killed them.
"...and don't think the garden loses its ecstasy in winter. It's quiet, but the roots are down there riotous." Rumi