Hi Keith,
I have experimented with coloring a bit. Light colored woods, such as maple and boxelder, are good for coloring.
I have used spirit stains, sharpie markers, and most of the other methods of coloring. I enjoyed the Sharpies, but they didn't come in enough colors. I am now trying the Prismacolor markers, and I think these will be really good. Lots of available colors at a decent price. I didn't care for the spirit stains as I thought the color was "whimpy". I want intense colors for my pens! The spirit stains seem to be really good for bowls and other large pieces though.
On the pens I've done with the Sharpies, I applied the color with the lathe running slow. I just held the pen to the underside of the spinning blanks. And I went back over it until I got the color I wanted. Most of the ones I did with Sharpies I wanted to be two-tone, with the colors blended from one to the other. After applying the color, I usually wiped it down with alcohol on a paper towel to blend it all together. I'll be taking the same approach with the Prismacolor.
I have a friend who colors his pens with silk dye (Hi, Emory!), and he acheives some amazing, vibrant color. There are all kinds of way to impart color to pens. Try whatever you have on hand. If it works for you, go for it. There is no "one best way" to do this, and besides, sometimes the most fun is in the trying!
Scott.