I have looked into this also and as far as I can tell by other posts and trial and error, there is no way to specifically change the colors of the different calendars unless you're using mobile me.
If you absolutely hate a specific color, what I was able to do it outlook was to make a dummy calendar that took up the color I did not want. Outlook alphabetizes the calanders when they go on your phone, so lets say you hated red and red was the first color in the order of colors, just make a dummy calendar that starts with a letter before the first letter of your first real calendar.
Now when I got my mac book, I tried this with iCal, but it does not work the same, so I have come to deal with the colors not being what I want them to be.