This is a neat trick I just learned of at the Gmail blog.
Just click on an event, then click the colored square in the top left of the pop-up bubble and pick a new color. If you don’t see this option quite yet, hang tight — it’ll be there for everyone within the next day or so.
Only you and anyone else you’ve given edit access to your calendar will be able to see the colors you choose. This has been a feature request from many of you for some time, and we hope you enjoy using it as much as we do.