You could probably use one of the RGB LEDs which are currently available, along with some kind of circuit to control the colour, but I don't think the RGB LEDs currently available are very high intensity, so it wouldn't make much of a torch.
If you use multiple LEDs, I don't think it would be very hard to come up with a circuit to drive the different colours at varying intensity, controlled by a potentiometer.
Of course, 'not very hard' doesn't mean much - I certainly don't know of any circuits off the top of my head, but no doubt some of the more talented electronics enthusiasts here could come up with something.
Graham