This somewhat depends on what platform you are on. The most common way to do this is by printing ANSI escape sequences. For a simple example, here's some python code from the blender build scripts:
class bcolors:
HEADER = '\033[95m'
OKBLUE = '\033[94m'
OKCYAN = '\033[96m'
OKGREEN = '\033[92m'
WARNING = '\033[93m'
FAIL = '\033[91m'
ENDC = '\033[0m'
BOLD = '\033[1m'
UNDERLINE = '\033[4m'
To use code like this, you can do something like
print(bcolors.WARNING + "Warning: No active frommets remain. Continue?" + bcolors.ENDC)
or, with Python3.6+:
print(f"{bcolors.WARNING}Warning: No active frommets remain. Continue?{bcolors.ENDC}")