On Windows Vista with User Account Control enabled, when you right-click a program and select Run as Administrator, the elevation prompt contains a particular snippet of warning text and a corresponding color-coding. Here are what the four colors mean.

Windows needs your permission to continue
A blue-green banner indicates that the program is a Windows operating system component. Remain calm.
A program needs your permission to continue
A gray banner indicates that the program has been signed but is not part of Windows. Be cautious.
An unidentified program wants access to your computer
A yellow banner indicates that the program's identity cannot be digitally confirmed. Be suspicious.
This program has been blocked
A red banner indicates that the program has been blocked from running. Run away.

You can learn about the philosophy behind UAC in this Channel9 interview.

Pre-emptive snarky comment: "UAC sucks!"

The purpose of this entry is not to discuss whether UAC is a good idea or not. I'm just trying to help by providing information on what the colors mean. This is one of the entries that I was afraid to write. On its own, it's useful information, but I anticipate a torrent of nasty comments from people who see it as an opportunity to start flaming. I have other tips and stories related to controversial topics; this is a trial balloon entry. If I get a bad experience from this entry, I'll delete the others. Just like how I deleted all my stories about Bob.

Update: Okay, just to make it clear (since I'm told that people don't read other comments before posting their own). I did not work on UAC. If you ask me a question about its design or how it works, the answer will be "I don't know." That's why I included a link to a talk from the people who actually know something about it.