I used to generally only use white chocolate, milk chocolate or dark chocolate for colouring. Given my allergic to dairy, I am now limited to dark chocolate, so my options are not huge. I have however found loads of different and easy ways to add colouring to cakes but it depends on what the end result is for and what the flavouring is going to be.
Red/Pink/Purple (tints)
For instance if you want a sponge cake that has a pinkish or reddish tint and is going to be served with a jam and cream (in my case cashew nut cream) filling, then simply getting a few strawberries or raspberries (any berry will work - so think about red currants/black currants/blackberries/cherries) and liquidizing them up with the milk/egg prior to adding it to the dry ingredients, you will have a natural tint for the sponge. If you want a richer colour, add more of the berries but take it into account that you may need to run the mixture through a sieve to remove pips/seeds and also that the more berries you add, the thicker the resulting liquid and you may need more to milk to compensate and also a touch more sugar sometimes. The results are good but do flavour the sponge a touch, hence matching the berry to what is going on with the filling and decoration!
Green
Green is harder without adding a pepperish flavour to the sponge - nettles. You only need a few and just boil for a 5-10 minutes in milk - now liquidize/blend and sieve the result is bright green! But it adds a slight pepperish flavour - great for bread though. Other green options include any herb or leaf which work well with savoury flavours in muffins but not really with sponge cakes (unless a mint version would give a green colour boiled in milk - something I have to tried but could be worth considering - would work with a chocolate theme but needs testing first - easy to do, boil a good handful of mint in milk and puree/liquidize and see what colour you end up if at all).
Orange
You might be able to do with apricots or nectarines - I'm just thinking about the colour they make for jam. Boil some in some milk and liquidize, then sieve and use as the 'milk' part of the milk/egg mixture when adding to the dry ingredients again. Obviously a sponge would work best with this, again something with a suitable jam filling. Again you will have a slight flavour change to the sponge but...
Bright Yellow
Yellow has me stumped, but I have thought that you might get it with dandelion petals. They are edible and actually used to make a really nice cordial that is bright yellow in its concentrated form. They only have a very delicate flavour, so again boil in a small quantity of milk and this time I would let them cool in the milk as well, then liquidize/blend before using the result to colour a sponge cake as outlined before.
Blue
All I can come up with on this front would be borage petals. But it would need an experiment with milk yet again (very useful for getting colour into cakes/muffins or anything that involves a white base of dry ingredients and liquid being added). I can't currently even try that one because I don't have any in flower and wont for a while. Not sure what other blue petalled flowers I know that are edible that could be used. - Some roses are blue but I can't see anyone sacrificing a blue flowering rose for that!