I painted mine blue, to match the theme I'm using for my ride. As previously pointed out, you need to use paint that is designed for high heat applications. I used the G2 Caliper Paint System, & highly recommend it! I have pics posted in some other threads.
You also have to decide if you want to leave them on the vehicle when you paint them, or remove them. Masking is highly important if you leave them on. Definitely DO NOT paint anything rubber, & try to avoid painting over any blots. The latter could lead to problems later when needing to change brake pads, or removing the caliper.