What is the effect of a PhD student dyeing their hair blue?
The general advice is that when you're an undergraduate student, a graduate student not yet on the job market, or when you're a tenured faculty, you can do whatever the hell you want.

The problem is that you are vulnerable when you're in the position to be hired, promoted, tenured, or retained. In those cases, having just one conservative person on the hiring/promotion/retention committee (or at the divisional, full faculty, dean or provost levels) can derail you. In those circumstances, you want to stand out in terms of your research, service, and teaching  but to try to avoid or mitigate any areas of friction where and when possible. 

Since hair color is easily changeable, if I were your advisor, I would recommend that you dress (and hair color) more conservatively when you go on the job market -- and when you come up for promotion/retention/tenure.
I would also recommend you wear shoes at your job interview. 

The benefit to risk analysis just isn't in favor of frivolity in these high stakes situations. Your departmental faculty may be 100% behind you and your sartorial style but I've seen faculty lose tenure bids at the divisional, full faculty, and provost level despite department support. I've seen grad students not get hired because they wore a t-shirt to a job interview thinking the institution was a cool, hip place. It was, just not that hip.

At all other times during your career, I think you are relatively free to do what you want within the broader norms of your particular cohort and department.

Note that while my home department is anthropology and I'm currently at a R1, I've also taught at two SLACs and have seen enough shenanigans in other departments and at divisional/university levels that my advice is not restricted to just anthropology at R1s but is intended as general advice. Ymmv.