For some reason, I'm never able to get a better cobalt theme for vim than by using coloration to convert the actual TextMate theme over to vim format.
And (because it's shared on github) we can collaborate to make it even nicer looking over time.
Either copy cobalt.vim to your ~/.vim/colors directory manually,
or if you're using Janus, you can add this to your ~/.janus.rake:
vim_plugin_task "cobalt.vim", "git://github.com/sfsekaran/cobalt.vim.git"
For the latest version of Janus, simply git clone cobalt.vim into your ~/.janus folder.