Undyed yarns are lovely in their natural state or can be dyed to suit your taste and project.

Want to try dyeing your own yarn?  If you're new to dyeing a good starting point is with Kool-Aid drink mixes.  You can easily dye yarn made from animal fibers with just Kool-Aid and vinegar.  It's great fun to do with kids and can create some great results.  Here are some links to get you started:
Knitty.com article with instructions and color examples.  Photographed step by step instructions for oven dyeing wool are here.  Microwave and stovetop methods as well as a extensive color chart can be found here.

Try some chemical dyes for professional results.  When you're ready to branch out to some chemical dyes, read this article at Knitty.com.  Or here, Reenie shares her microwave instructions for two methods of dyeing yarn and fiber with food paste or acid dyes.  Acid dyes are best for wools and silk; and although the name sounds a little scary it only refers to the vinegar used to set the dye.  They can be messy and expensive, but also very rewarding.  Be flexible, your first few attempts may not go exactly as planned.  Start with cheaper yarns and know that you can nearly always over-dye a mistake!