[quigonkenny]

While in most cases it is just to help diffferentiate the characters, good anime productions (and by extension good manga/light novel illustration), will often use odd hair colors to give you some hint about the characters. Haruhi is a good example.

Haruhi: Brown hair. In her eyes, she's normal. In many ways she is more normal than most of the other main characters.
Yuki: Light purple-gray hair. By all accounts a fairly "alien" hair color even for the genre.
Kimidori: Light green-gray. Same as Yuki, as dark green is far more common, unless you're a mermaid.
Tsuruya-san: Dark green. Dark colors are always more "normal", considering the Japanese audience, but green still shows that she's a bit of an odd duck.
Ryoko: Dark blue. An abnormal color, but not too abnormal (her nature is supposed to be a huge surprise. Dark blue is a common Yamato Nadeshiko color.
Mikuru: Auburn. A normal color (she is the most "human" of the odd SOS-dan members, after all), just not for a Japanese native. It's a fairly glamorous color, at least in the West. Maybe it's the same in Japan.
All the guys: Natural hair colors (dark brown, bleached in Taniguchi's case). All ther guys are some variety of normal, even Itsuki, for whom an odd hair color would dent his pretty boy image. Taniguchi is a pretty boy wannabe, hence the (chemically) abnormal color.