I'm not sure whether "teabagger" was first used as a term referring to the protesters by themselves or their mockers, but the protesters were the first to refer to what they were doing as "teabagging." It was those quotes from various protest supporters that first set Olbermann and Maddow off.
My memory of "blue dog Democrat" is that is a play on the very old "yellow dog Democrat" which was a term to post-Civil War southern Democrats who would never vote Republican (because it was the party of Lincoln) even though policy-wise it was actually the better party for them.
I believe that the "blue" in "blue dog" is a reference to Democrats who feel they've been left out in the cold by their party (meaning it is too liberal on some issues for them).
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