The Blue die is called the Attack Die, and is used for every attack. Please note that not every damage-dealing ability is an attack. An attack always uses the Blue die.
The Yellow and Red dice are called the Power Dice, and are usually used in conjunction with the Blue die to roll "an attack." A third power die, the Green dice, was later added in various expansions.
The Brown, Gray, and Black dice are called the Defense Dice, and are usually used to defend against an attack, while the Gray and Black dice are used together for , , , and tests.