When a source of sound is approaching you, its pitch (frequency) is higher than when it is receding. This is true for any wave. Imagine making ripples on a pond with your finger. If your finger is stationary, the ripples radiate out in concentric circles. This is the situation in part (a) of the figure. But, if you move your finger to the right the ripples to the right will be closer together and ripples to the left will be farther apart: part (b) of the figure. Since the ripples travel at the same speed they will arrive more frequently at a receiver on the right than on the left.
The same is true for light. The frequency received when you are approaching a source is higher; the frequency is lower when the source is getting farther away. Since higher frequency light is blue, lower is red Doppler shifts are often referred to as blue shift (higher) and redshift (lower). It doesn't matter if you are approaching the source, or if it is approaching you. Only the relative motion matters, in proper relativistic fashion.
See QuickTime animations of the Doppler effect.
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