I'm torn between the movie sabers. They're all neat, butI think it depends on the environment. For example, luke green saber looks amazing in the darkness of the throne room, but the green sabers in the arena battle don't look as impressive.
I think the blue ones look best in almost any environment, light or dark. Of course, a cool hilt helps, but that's irrelevant.
I think everyone is right about the EU sabers. The yellow toy sabers were the first, with the next being the ones from DF2: Jedi Knight. I don't rememeber all the villains' saber colors, but in the multiplayer levels, you could pick any saber color reanding from silver to yelow, orange, red, purple, maroon, blue, green.
The comcis/books, especially recent ones like NJO, Jedi Apprentice, or Young Jedi Knights, specifically point out unusual saber colors.
The POTJ Plo Koon and Saesee Tiin figures came with Yellow and Dark Purple sabers, respectively.
Just about every color has been done. According to SW lore, the type of crystal used in the saber is what gives the blade it's color.