When I was attending Calvin College, we had a program with the theatre company there where graduate members of the company who had made it (to varying degrees) in the real world would come back to talk to us about their experiences.
One of these individuals had become part of the Chicago Blue group (thus leading me to believe that there are in fact different teams in various cities...so if you go to see the Chicago show repeatedly, you are likely seeing the same team, whereas if you travel between cities, you will see differences).
Also in reply to the post about size...this fellow was about 5' 10" and rail thin. I'm not sure what this says about anything.
In any case, he related to us that the Blue Men Group got their start out in New York, and that their first act in fact consisted of standing against a brick wall with one of those rope stands like you find in banks (or, more aptly, in front of club entrances) for several hours. Thus the more performance art aspect of their show.
Their second performance (at least, that was noted) consisted of digging a hole in Central Park, and burying items from the 80's, (such as a Tiffany's album) and putting the 80's officially to rest. This may give you a flavor for their type of humor. One is not certain if they obtained permission for digging said hole first.
One receives the impression that the original Blue Man Group operating out of New York generates all new techniques and performances, and disseminates it to the other crews. This would also likely relate to who appears on what talk shows (such as Letterman), all of which seem to reside in New York also. Coincidence? Likely only The_Custodian truly knows for sure.