There are two snippets of information regarding the Blue Wizards in Tolkien's works.
1. Unfinished Tales states thier names as Alatar and Pallando and mentions they go East but don't return. Mentions that they probably failed like Saruman, but in different ways...possibly founding 'magic' cults in the East.
2. In Peoples of ME, I believe (somewhere in HoME
), the Blue Wizards are given alternate names (don't remember exactly offhand, but they meant 'East-helper' and 'Darkslayer' I believe) and it is implied that they may have been successful in battling Sauron, if not the Easterlings would have vastly outnumbered the peoples of the West and been victorous. It is also mentioned that the Blue Wizards may have came to ME in the mid-2nd Age with Glorfindel instead of ~1000 3rd Age with the rest of the Istari. This doesn't really fit as well to me, however.
In MERP details are very thin...what can be gleaned is that Alatar, I believe, sets himself up as a power in the NE of ME (not aligned with Sauron, but not exactly against either...an independent power) and that Pallando starts some death cults in the SE or South of ME.