NYX has a single shadow colour that is pretty similar. I haven't seen them side-by-side, but it's a really nice royal blue colour. I also can't remember the name of it (wow, I suck!) and I don't want to guess from the swatches on the website, but you will know it when you see it. I even own it, but it's at my friend's house right now so I can't check the name
Also... I was going to mention Blue Storm e/s from MAC. Its a little deeper than Bang on Blue, but IMO, its much prettier & easier to work with. Its LE but its still available for purchase on maccosmetics.com