Patch available for colored shadows --
http://projects.blender.org/tracker/...tail&aid=13422
broken: Who is maintainer for lamp/shadow stuff? Is it you? Let me know what you think.
There are also five .BLEND files there that demo the effect. Might as well show the crappy renders from the demos...

This file shows two spot lamps with differently colored shadows. The standard compositor breakdown is also shown to see the proper recombination of passes with colored shadows.

Two regular lamps, one without shadows and the other with Ray Shadow enabled. The ray lamp is set to Only Shadow, and a texture has been applied to the shadow color. The backing sphere is given a magic texture to show the "transparency" of the textured shadow with this technique. It also works just as well with buffered shadows.

This file shows interplay between a ray shadow spot lamp, a background object with ShaTrans set, and a casting object with ray transparency and color filtering enabled. The red shadow is cast to orange from the transparent yellow material.

Demonstration of using colored shadows with Ray Area lamps.
I haven't done anything "production worthy" with it yet, but only because I'm currently doing editing and sound for a project and not lighting and rendering.