Blue cheese is a type of cheese with a bacterium called Penicillium added to it. The bacterium makes patches or veins of it look blue. The cheese can be made from cow's milk, sheep's milk, or goat's milk. Types of it include Roquefort cheese, Stilton cheese, and Gorgonzola cheese. These names should only be used for cheeses that are made in certain areas and are protected by the European Union.