There is actually a product from Mehron designed specifically for Blue Man Group, who are their official supplier.
It's available in a 38g container.
Water based paints from Diamond FX/Fusion/Superstar/Mehron Paradise
These are cheaper, easier to apply but they aren't waterproof. You can use fixing sprays to help keep them in place, but the success of the sprays depends on the conditions.
Oil based Mehron creamblend/Mehron mask blue/kryolan supracolor/mehron supracolor
These are greasepaints, and are waterproof if you really really powder them. But they can be messy, and time consuming to apply and remove. That's what the blue man group use though. Much more expensive.
Alcohol based Proaiir
Waterproof, and removed with soap and water. Doesn't really give the same amount of coverage or finishing effect, but it would definitely do the job.