From the context, I am assuming you were hoping to find a small discrete LED device to connect to your Pi. As @joan mentioned, you can buy discrete RGB LEDs and you get color from them by careful pulse-width-modification techniques. It's possible, but that doesn't sound like what you want.
There are "light strips" available that operate exactly as you describe -- AdaFruit sells at least one, for example, that's wired with RGB LEDs and includes an embedded controller so you connect it to your Pi and communicate the colors using software libraries for the Pi supplied by AdaFruit. See http://www.adafruit.com/product/306
I happen to have a colorful LED device that screws into a standard light socket and the colors it produces are controlled using an infrared remote control. It's fairly simple technically to connect an IR LED to your Pi and use the lirc package to replicate the serial signals produced by the remote and control that sort of device. Here's a similar one available on Amazon: http://www.amazon.com/E-Goal-Color-Changing-Light-Remote/dp/B003MB6UEO
Finally, if you are ultimately looking to produce LOTS of light output, yet another option to consider would be to buy a lighting device designed for stage lighting using the DMX protocol. See https://wiki.openlighting.org/index.php/Open_Lighting_Project or search your favorite search engine for "Raspberry Pi DMX."