Mail's signatures aren't in color by default. If you want your Mail's signature to be in color, create it in a new Mail Message first, colorize it, then paste it into the signature you have previously created in the Signatures tab of Mail's Preferences.
[robg adds: Just in case it isn't obvious, this will only work if you send your messages in rich text mode.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20060130112053611