According to Wikipedia (citing several articles) "[butterfly] scales are pigmented with melanins that give them blacks and browns, but blues, greens, reds and iridescence are usually created not by pigments but the microstructure of the scales. This
structural coloration is the result of
coherent scattering of light by the
photonic crystal nature of the scales." In other words, their fine structure, as above, causes light to scatter in a fairly uniform way in specific wavelengths making them look brightly blue, green, red, and iridescent.
Here's a nice, more detailed description, with images, from Peter Wong at Tufts University. Here's a few which I think are self explanatory and correspond to the micrographs above:
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