There are a few different colors of LEGO Technic axles, but not enough to really use for artistic variation - black, grey, some beige, and recently I have started seeing blue.
The particular color used in different Technic sets seems arbitrary to me. Is there a difference between the different colors aside from just the color, like a slightly different size or tensile strength?
The first LEGO axles were milky white and were probably made in a different plastic than they are now.
Later on, LEGO started making all-black axles when they started doing more serious technic sets. However, the tendancy is now to make sure all difficult technic pieces are "color-coded" so that children can pick them out more easily. As such, nowadays, the following axle lengths and colors are standard:
Similarly, 2L friction pins are black, non-friction grey, 3L friction pins are blue and non-friction tan, and so on. All that to make sure they're easy to pick. Even gears are being changed now, for example the classic 24T is now dark grey.
That said, there have been other colors used for axles, when the color itself was important. I've seen tan, red, green, brown, but possibly others exists. The long ones (32 and 16) have also been produced in black, white, and yellow (32 only).
As far as I know the plastic used is always the same, so they should all have the same mechanical properties.
