I had found the Lactarius indigo which literally means 'Milky Blue'. In fact, one of its common names is Indigo Milk Mushroom. It is known as the "milk mushroom" because of its production of a blue latex like liquid when it is cut or harshly bruised. (source)
The Lactarius indigo isn't a common mushroom- but it is widespread- it can be found throughout the eastern half of North America growing beneath various oak tree species. The Lactarius indigo that is pictured here is of the one that I found growing in the moss beneath a Post Oak tree on July 30, 2009.
Lactarius indigo mushrooms are edible which makes for a fascinating topic- there are very few naturally occurring blue food products! This mushroom will definitely brighten up a meal. So, how do you cook them? One mushroom expert reported that they are quite good sauteed with butter. Another commented that they are "edible and delicious. One of my favorite edibles." (source) But, as with any mushroom species- be very careful with the identification- as in- be absolutely certain of its identification and edibility.

