g++ especially can be rather verbose with its warning messages (especially those involving the word `const' about 7 times).
colorgcc is a perl script which `nicely' colourises gcc or g++ output.
The idea is, you create soft links to it called `gcc' and `g++' and stick them somewhere high in your path.
Perl code available from http://home.i1.net/~jamoyers/software/. Additionally, you'll need the ANSIColor module from http://www.cpan.org.