The gold cassettes like Jez's and my one are old Goldtec ones that are Titanium coated with Titanium Nitride like the old Pace RC36 stantion legs. The nitride is quite good at resisting wear (but not amazing), same with those gold chains you see on ebay. You can get similar cassettes from poshbikes.com for the best part of £300(!).
There are cassettes out there with coloured spiders or spacers like the tioga ti cassette or the Sram ones, but these haven't coloured cogs.
Other ones that were made with coloured cogs were ones like TA but these were alloy cogs and mainly focused on smooth road riding (ie one mile on an MTB and you'll have no teeth, on the cassette and in your mouth!). They looked quite smart as they were annodised and then the teeth were machined so the colour wear was limited. These are about as much use as those gold alloy ones on ebay at the moment - avoid like the plague on your MTB!
One other alternative is the Action-tec heat treated cassettes that are a nice shade of blue, but again, cost the earth (£200 after taxes etc)
The only other coloured chains I can think of are the old BMX ones with the powder coated links, but as these tend to 1/8" they be no good unless you're going down the single speed route.
Hope that helps a bit..
