pds, I eat the blue ones first for the same reason!!
Other than that, I'm like Barbara--if I have the time to organize and eat by color I do. If not, I'll eat them mixed up, but never multiple ones at a time. It has to be one piece at a time. And I won't combine colors! This goes for all colored candy--m&ms, skittles, starbursts, jelly beans.
For peanut butter cups, I eat around the edge first then eat the middle.
OK, what about cupcakes? I eat the bottom off, then the top with the icing. If it's cream filled, I eat around the cream and leave a little cake, then eat the top, then go back and eat the cream filling part. (Don't worry, I don't eat these in public!)