Violet - I'm going out on a limb here, but I suspect you could get violet or purple urine if you combined beets with methylene blue.
Blue - Methylene blue will turn your urine blue or greenish-blue. It can also color the whites of your eyes blue. The coloration of both urine and eyes is reversible. At one time, methylene blue was considered to be an effective treatment against malaria. As far as urine colorants go, this one is considered to be reasonably safe to eat, though you should be aware some people are allergic to methylene blue. Food coloring may turn your urine blue. A rare, inherited disease known as porphyria can cause blue urine. King George III's blue urine may have been attributable to porphyria.
Green - Asparagus will turn urine green and also will give it a very strong odor. Food coloring can turn your urine green, as can certain medications.
Yellow - That would be the normal color, so I'm guessing this won't be a problem.
Amber - Dark golden urine often results from dehydration (not drinking enough water). A very dark color might indicate the presence of bile in urine, which is symptomatic of a medical condition.
Orange - Eating rhubarb or senna can turn your urine orange. Senna is a dangerous herb to mess with. Stick with rhubarb.
Red - Eating beets or blackberries can turn your urine red.
Pink - Pink can result from a urinary tract infection or from eating smaller quantities of beets or blackberries.
Brown - Brown urine results from a kidney dysfunction (bad), jaundice, or from an overdose of the herb Goldenseal (also not good). You should probably avoid this color, if at all possible.
Black - As far as I know, you only get this from Blackwater Fever, which is associated with malaria. The black color comes from massive death of your blood cells, leading (usually) to the victim's death. Black is not a good color for your urine.
Milky or Cloudy - This results from blood, protein, or pus in the urine and usually indicates an illness. I didn't see a means of achieving it by eating or drinking something non-toxic.
Clear - All it takes to achieve clear urine is to drink plenty of water. Don't go overboard, since even too much water can be bad for you.
If you decide to try any of these out for yourself, be sure to read the safety information that accompanies the chemicals and use common sense. If you are concerned you have colored urine because of an illness, check out the causes of colored urine over at WrongDiagnosis.com.