Our Chefmaster gel colours are what we use most often for our cakes, the colours are much stronger than supermarket liquid colours- the red is actually red! They can be used to colour fondant, gum paste, royal icing, buttercream & even your cake batter.
Gel colours aren't really suitable for colouring chocolate as their water content can make chocolate seize up if you add too much.
Colour Mill is an oil based colour which works great with chocolate- and other kinds of icing.
Powder colours can also be used with chocolate & other icings.
If you're using buttercream icing & your colours aren't looking as strong as you would like there are a couple of things you can do- add more icing sugar, as this is what brings out the colour- it doesn't adhere as well to the fats (butter/snocreme), you may also need to add more milk if the icing sugar makes it a bit stiff.
Another option to bring colour out is to put the icing in the fridge till it hardens, then microwave it 10 seconds at a time whilst mixing in between till it's the correct consistency- the slight heat will bring out the colour.