Another technique I've been experimenting with has given me some interesting results. Instead of buying a heap of different coloured lights, I bought half a dozen sheets of different coloured cellophane to use as filters. That way one light can give you any colour you want.
You can use a single piece for a basic colour or use different combinations to achieve some really strange colours. You can also vary the intensity of the colour by using a single layer of cellophane for a weak tint, or three or four layers for a strong full colured light. It only costs a couple of dollars per sheet, which is a lot cheaper than buying heaps of different coloured lights!