I don't know about external apps, and I don't think you can use colors, at least not the normal label colors.
However, what I do is in my home folder, I have a folder called "SideBar folders" and in there, I have a bunch of folders that have aliases to other things, like various project folders, and apps, etc... then I put the folders of aliases into my sidebar.
This is particularly useful because i have a bunch of things (php code sets, for example) that exist, in slight variation on 4 different computers, so I can have folders mine, Chris's, etc with links in them with pretty much all the same names, but one goes to my copy of the database, and one goes to Chris's... n