Methylene Blue is a common Indicator used in Chemistry. Methylene blue is highly stable in the human body, and if ingested, it resists the acidic environment of the stomach as well as the many hydrolytic enzymes present. It is not significantly metabolized by the liver, and is instead quickly filtered out by the kidneys. Meaning that you wee it out instead of pooing it out. In order to make someone pee blue you would have to add small amounts of methylene blue (generally a few drops of a stain solution sufficed) to coffee, cola, or another dark beverage. The stain's color was masked by the beverage, and its taste is fairly faint. Within a few hours, the methylene blue was removed by the prank victim's kidneys, which caused his or her urine to change color. The urine may become green if little methylene blue was added; larger amounts create a deep blue color. The prank is fairly harmless if small amounts of methylene blue are used, although allergies are possible.
WARNING: Make sure you know the risks and read all relevant MSDS sheets before trying this on yourself or others! Some people may be allergic to Methylene Blue dye.
Allergies with Methylene Blue are very rare. And the indicator is harmless in small doses (It is often used in medicine.) The only real danger is that other harmful chemicals could have contaminated the indicator (Mainly from High School chemistry kids not using the chemical properly.) But if you order your own online, or "borrow" some that has not been contaminated, there is no need to worry.
Have fun!
