Aluminum oxide wheels can be white, like these:
http://www.hartvilletool.com/product/12888
They can also be pink, purple, blue, grey, etc. as far as I know. See:
http://images.google.com/images?gbv=2&hl=en&q=aluminum+oxide+grinding+wheel
What I've been told is that the main difference in wheels is their hardness. The idea is that the harder the steel, the softer the wheel, and the softer the steel, the harder the wheel. Normal tool steel, lawnmower blades, etc. are softer metal than our HSS turning tools. The harder wheels do well on these non-turning items. The hard HSS wants softer wheels, that are friable, as wildman said. That means the wheel disintegrates as you go. The hard wheels that come on most grinders wont disintegrate, but will pick up steel in their pits and divots, and lose their abrasive quality as the wheels become loaded with steel. Think of sandpaper that's gunked up with dust. It generates a lot of heat, and won't eat away wood as it should. With inappropriate wheels, your tools heat up faster, and it takes longer to sharpen them, OR you have to dress the wheel more frequently to expose a fresh abrasive.