The Blue Stars are collectables in the game. They are used to upgrade a Costume, giving them a better weapon, and the maximum amount of stars a Costume can recieve is 4. There is one blue star up for grabs in each part of a level, meaning you can get 3 stars in one level.
Normally the Blue Satrs can be found in a chest in the level. However, sometimes a star isn't a chest but somewhere else. Below is a list of Levels where this happens: