The colored varieties don't taste any different, but unlike many gorgeously colored foods (I'm looking at you, purple potatoes!), they keep their color when cooked. They also have more nutrients than white: Orange is loaded with vitamin A, the purple with the same zippy antioxidant anthocyanins found in red wine, blackberries, and blueberries.
CHOW has an awesome roasted cauliflower recipe that I like to use for the white variety (it has soy sauce in it, which adds a little color to the otherwise pale vegetable), but I prefer to roast the colored kind plain so as to appreciate its prettiness. I just chop it up, add a tablespoon or two of butter or olive oil per head, salt it, and put it in the oven. The oven temp doesn't even seem to matter; I've had it as low as 350 degrees Fahrenheit, and as high as 450. Take it out when it's nicely crisp and browned and eat it all up.