As for changing the colour of the flame, the only thing you can do is make a tailpipe out of copper (which is illegal) this will give you a greenish colour flame...
actually it won't. You need to get the metal to "burn" as in oxidise. since copper doesn't even melt until 1084.62 °C it will remain solid under normal operating conditions. I'm not even sure that Copper will burn in its elemental state. you would need to use a copper compound in powder or gas form with a flash point far lower than the solid material.
You can inject gas into your exhaust to get it to burn a different colour, again it would need to have a flash point (burn temp) lower than that of the exhaust gas temperature at the exhaust outlet and would mean you would need to carry compressed gasses within your car and have means of delivering them into you exhaust.
Adding sulphur to your exhaust would create Sulpur Dioxide which stinks and is not very good for the environment.