I desperately need this too!
Let me second this request.
I need this not only for mail folders, but for aliases in the finder sidebar.
I'd gladly pay for some third-party utility to do this.
I might add that Apple's system to assign colors to email correspondents is tedious, and not remotely as good as Entourage's.
This is one of the many details that makes me think Jobs' staff don't give a hoot about user needs. Yes, I suppose I could submit a "feature request," but how many people have had one actually acted upon?