To be clear before all of this gets out of hand:
In western releases, Pokémon Red & Blue are standard Game Boy cartridges with Super Game Boy support (the SNES thing with the borders and color palettes). Now, the Game Boy Color has special handling for most first-party Game Boy (non-color) games, so that they receive a hardcoded palette specific to the game, but the game has no understanding of this and isn't able to dynamically change colors or anything, so you'll get one set of colors throughout the entire game, chosen by the GBC, not the game. To play these games in full color, use Super Game Boy mode.
Pokémon Yellow, Gold and Silver are Game Boy/Color hybrid cartridges, i.e. they can run in a standard game boy in monochrome, on a Super Game Boy in color, or on a Game Boy Color with somewhat more advanced color. In Yellow's case, the Super Game Boy and GBC palettes are extremely similar, so it's sort of same-same, doesn't matter too much which you choose. Gold and Silver will look significantly nicer in GBC mode, but you won't get the border (irrelevant since they're not currently working on GameYob, anyway).
Pokémon Crystal is a Game Boy Color-only cartridge, it can't run in monochrome or Super Game Boy modes at all.