RGB LED - Set intensity on Red and Blue
The problem ended up being a PWM issue. (It was solved in the comments, however I've posted the following to help future readers of this.)

First switch the Red or Blue with the Green. This will determine where the problem lies. If the Red or Blue still doesn't work then the problem is with the LED (very unlikely) or somewhere in the connection. Otherwise it is a software problem, like incorrect use of PWM.

Helpful links:


Basics of PWM with an Arduino
PWM with Arduino Video
A much more advanced app note from Atmel about PWM