I use Handcent for my text messages anyway, so for me, SMS comes through purple (which looks pretty good).
I also use Gmail Notifier for my Gmail messages, so those are blue.
I tried using Missed Call for my missed calls but it never seemed to work right, they stayed green.
The colors are a little funky because there's no diffuser - there is a red, green, and blue LED right next to each other under the clear lens cover, so colors don't get mixed very well. Orange, for instance, is a bit weird and from some angles it looks almost green. So, a phone like the Nexus One with that nice semi-transparent scroll ball to diffuse all the color makes for truer colors than the DX.