I think the reason blue cheese works so well is that the sharp flavor of the blue cheese makes a good contrast with the hot sauce. It's been my experience that the best dishes I've tried are made from two sharply contrasting flavors that complement each other. (Karen would have a professional's take on this!)

If you don't like blue cheese (and it really is a love it or hate it kind of thing), many folks have had good luck with ranch dressing. The hot sauce in mayo thing works pretty well (I used to make that as a chip dip all the time; mayo, hot sauce, black pepper, and a little onion powder.), although I don't know that you'd get the contrasting flavors; two different "hots" might actually conflict.

Another idea that's worked in the past for veggies: try mixing a couple tablespoons of a good vinaigrette into mayo or sour cream, to taste, and try that as a dip.

When I run out of blue cheese I generally just eat the wings "bare".