For tricolor, (blue, periwinkle, amber; red, yellow, green; blue, magenta, red, etc. There is ForeverBright, which you can get from
www.Christmastreasures.com
For RGB 7 color (R y G c B m w) which cycle at different speeds, so each bulb is always a different color, there are the Intellishines (
www.carpenterdecorating.com)
For many different colors, and programmed effects (with a kit that allows you to connect to a computer and completely control them yourself) there are the individually addressed strings, such as the DingDotz (
www.ledeffects.com), and iColor Flex (
www.colorkinetics.com) These are not really designed as Christmas lights, and are very costly, including the softtware and controllers. I got the DingDotz because they are offered in a 10 light "Demo Kit" for only $100 (generally, think $10 per light. So the 50 light strings of both companies are about $500!) Since they were designed more for larger commercial decorating; they might be just what you need.
If you're in Malta, Africa, you may also look into Asian websites as well, but these are the primary color changing string dealers here in the US.
[Maybe this should be made into an FAQ question (if we have an FAQ section). A lot of people seem to be asking for this now, and they can be hard to find even online!]