It's hard to find a tough true blue perennial. This is my favorite for the Gulf South. I'm sure it is a salvia. It comes back every year as a great background plant for day lilies and or marigolds.
My favorite blue
I had a salvia that resembled yours - Salvia Patens Patio Deep Blue. Had it for several years, in fact. I bought it as an annual and was surprised that it kept coming back. Last years extrememe harsh winter did do it in. I see a seedling that may be from it coming up else where and I'm keeping it. I also saved seeds in case it didn't return... which it didn't.
The blue color is stunning, the plant tall, and goes with just about anything. I had mine planted behind daylilies.