S2 calendar will show your colors. I used that for a while and really liked it, it's a nice little calendar.
I recently switched to Weather Forecast Widget (donate), it doesn't show colors but integrates weather and calendar into one, which is really nice.
(not that it matters but I used it on a Moto Droid)

 

get Calendar Pad. Best calendar app out there, and does show colors.

 

stock calendar shows colors in daily, weekly and agenda views.

 

^This. Make multiple calendars in GCal from a desktop. Color code and rename them. Choose which ones to sync/share.