If you have a MobileMe account, go into the settings on your iPhone. Tap on Mail, Contacts, Calendar then tap on .Mac Account then make sure that Calendars is On.
If you don't have a MobileMe account, then I'm not sure what to do.
I do not have a MobileMe account (and don't plan on getting one). It seems awfully silly to me that the colors are wrong. After all, color-coding your calendars is primarily so that you can quickly look at your calendar and determine the type of events that are listed. The color coding on my iPhone is useless since the colors are different from what I expect. I hope they fix this in the next update...it doesn't seem like a difficult fix.