Blue Mountains - Why are they called Blue Mountains?

Bought a combined 3 day rail and bus explorer ticket to the Blue Mountains. This gave us the 2 hour return journey to Katoomba and also unlimited bus/train rides while there for only about £25 each. So why are they called Blue Mountains? Check out the photo and the Blue mountains in the background behind the "Three Sisters", this is not a special effect, they really look like this. Apparently its a result of the oils given off from all the Eucalyptus trees absorbing and reflecting light so most of it comes out as blue.

Our first day was absolutely freezing, coming recently from Queensland with lovely high 20 degree temps to Syndey with low 20 degree temps to 7 degrees up here. Shame only Vicky brought her winter gear. Not much exploring on the first day, mostly hiding in our room with the heating on full trying to get warm.