Sometimes when I pull out a plug (kitchen appliance) from an electrical socket, a blue spark or flash happens. What does this mean and what should I do?

Turn the device off before plugging it in or unplugging it. Anytime you separate conductors carrying a load, the current will jump the gap until it is too big. Switches are made to minimize and contain sparking. That is why when you smell gas, you leave without switching anything off and use a phone elsewhere.

Labman is exactly correct with his explanation.

All I need to offer, is that if this unplugging of an appliance has been done repeatedly or excessively, the arcing that did occur will certainly have damaged the receptacle, and will eventually need replacing.

About the only appliance I can think of that does not have a builtin switch is a coffee pot. If this is what your referring to, I would not worry about it, you have no choice to unplug under load, and the load and spark is not that great, so it may takes years to damage the outlet.

Just unplug it firmly and quickly will minimize the arcing.

Any appliance that does have a switch should always be turned off using that switch.