If you want nice bright colors, try food coloring. You can add water to tone it down, and apply multiple coats to deepen the colors. I've used it on a few projects and they came out nice. I also know a few others that regularly use food colorings. Since they are water based, the key is to wet / moisten your project first to raise the grain, then sand it down smooth. Grain will only raise once, so it won't raise back up when you apply the water based food coloring. The best part is that it's non-toxic, and you can apply a finish over it when fully dry. If applying finish, I'd recommend a spray finish. If you decide to apply finish with a brush, avoid using the same brush on different colored areas since you may get a little color transfer via your brush.
Most kitchens have at least one variety pack of food coloring for cake frosting and such. If not, they are quite inexpensive at most grocery stores. I hear the color gel also works well, but haven't tried it yet.
Oh, and invest in some latex or nitrile gloves when handling food color. Food color can be a pain to remove, especially when you get it under your nails ;-) Yes, I've done it a few times and walked around for several days with green or red fingers, but it eventually wears off, but gloves will help you can avoid being asked a hundred times why your finger tips are weird colors.
