Matthew Lillard's character, Stevo was originally to have bleached blond hair. However, when getting the bleach job, the peroxide burned Lillard's scalp, leaving a hideous mess. Dying his hair blue was a way of hiding it.
The trivia item below may give away important plot points.
In the DVD commentary, Matthew Lillard states that he could only do the scene where he finds Bob's body alone, and that the inspiration for his crying reaction was due to conjuring up memories of his father.