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:
- 2: red, notched
- 3, 5, 7, 9: (new) grey - no 11 yet as far as I know but I suppose it's just a matter of time
- 4, 6, 8, 10, 12: black
- 3 with stud: dark tan
- 4 with stop, 5.5 with stop, 8 with stop: (new) dark grey
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.