The most common color of cave formations is pale brown, yellowish brown, or reddish brown. A small fraction are deeper red or orange, and a tiny fraction are green, blue, yellow, or pink. Calcite (of which nearly every speleothem is made) as well as aragonite and gypsum (which account for most of the few others) are all naturally pure white, often translucent white. Any other colors are introduced by impurities in the calcite. This is of course ignoring the brown color caused by mud and dust sitting on the formations, the origin of which is obvious. The following are the most common color-producing impurities in calcite. The average caver is likely to only encounter the first three or four, unless he or she visits certain specific caves.
Much of the material in this page is derived from Cave Minerals of the World by Carol Hill and Paolo Forti. Browns The tans, browns, reddish browns, and yellowish browns in in nearly every cave formation are caused by humic acid present in the calcite. "Humic acid" actually refers to a class of high molecular weight (tens to thousands of carbon atoms each) acidic organic compounds that are produced by the decay of organic matter. They are generally brown and produce much of the dark brown color of organic soil, hence the name humic acid. Similar compounds can also be produced photochemically. These complex organic compounds also produce the brown in motor oils and the surfaces of most of the icy moons in the solar system (e.g. Ganymede). Similar organic decay products such as fulvic acid are also brown and contribute to the brown color in soil. These acids are leached out of the soil through which groundwater passes on its way to the aquifer, and they become locked in varying amounts into the calcite crystals that form in caves. The more of the impurity present, the deeper the color of the formation. Though soil and some cave formations are both colored brown by humic acid does not mean that brown cave formations are colored by dirt. The molecules of humic acid, though large for molecules, are much smaller than and not the same as dirt grains. Many speleothems are dirt covered and some contain layers of dirt, but this is a different coloring process than the presence of humic acid as an impurity within the white calcite.
Rust Colors A few formations have red or orange colors produced by particles of iron compounds. The common minerals are hematite (Fe2O3), which is red as a powder; goethite (FeOOH), which is brown; and FeOH3, which is yellow. Tiny amounts of these exist in most limestone but not enough to produce visible color. Only in regions of high iron ore concentrations do they color caves. Therefore, what you often hear on many cave tours, that the color is due to iron oxide, is usually not true. The red color in the following image from Gruta del Palmito in Mexico may be due to iron oxides. (Click to enlarge.) 
Black Black deposits, usually on the tops of formations, are present in some caves. The culprit is usually manganese ions (Mn+4), usually in the form of MnO2, a dreadfully black solid that can also be found inside of most flashlight batteries. In the vicinity of coal deposits, carbon powders may also be responsible.
Bluegreens The most common source of green is Copper ions (Cu+2). They produce the color of turquoise, malachite, and azurite. Malachite (CuCO3) is the most common green producer in caves, usually imparting a pale bluegreen to the formations. Azurite (Cu(OH)2) will produce blues. Both are, in any case, very rare, though there are caves in the Massif Central of France that have many speleothems colored blue and green by copper compounds. Bluegreys can be caused by glauconite in clay. This will often be in the form of a distinct bluegrey layer that may "paint" the layers beneath it if it is eroded.
Bright True Greens and Yellow-Greens Another extremely rare color, produced by nickel ions (Ni+2). Nickel carbonate (NiCO3) is lemon yellow in calcite crystals and pale "grass green" in aragonite. Timpanogos Cave in Utah has some nickel ion colored speleothems.
Others Dark blue can be caused by chromium ions. Pale pink to blue can be produced by cobalt. Rich pinks to reds can be produced by MnCO3 (a Mn+2 mineral called rhodochrosite). In addition, caves can contain specific minerals with color, such as sulfur (yellow), fluorite (dark green and blue to pink), and others.
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