My first set of polyhedral dice was purchased independently, not as part of a boxed game or anything. I'm pretty sure I got it at the Compleat Strategist in NYC but that was a long time ago. As it happened, each die was a different color. This turned out to be extremely useful in the early days when most of my players had never seen anything but a traditional d6. I'd ask someone to roll a d8, get a blank look, then tell them to roll the blue one. And it made grabbing a die in the heat of play easier for me as well. So as I bought more dice (so we didn't have to keep passing one set of dice around all the time) I stuck with the same colors. I already had a pair of d10s from before for use as percentile dice with wargames, one red and one white, so I stuck with red & white for those. Much later I bought some hit location dice but I consider them to be independent of my color scheme.