I love the fact that Categories are colored, with so many colors to choose
from also!  I have noticed that if I make a category with no color
association and have an item associated with that category and another
category that is colored, on the appointment (in day and week view) it puts a
red square on the category.  Now, I played with it a bit and unassigned
categories and reassigned categories and it still seemed to do it most of the
time, except when I cleared all categories and saved & closed, then reopened,
selected the uncolored category and saved & closed, then reopened again and
once again selected the colored category in addition to the uncolored
category being selected and saved & closed.  Weird!

Okay, another thing, I wanted certain appointments to be colored a certain
color even though I had different colored categories assigned to them for
filtering purposes.  I noticed if I unchecked the color that I wanted to be
the color of the appointment and then rechecked it, it put it first in the
category list and made the appointment that color, most of the time, I did
have a couple issues with this.  It would be good if you could have a color
or category priority option.

One more thing in regards to labels.  I used labels in Outlook 2003 and when
it converted the labels over, it was kind of messy.  I had some labels that
were sort of duplicates of categories because of filtering and
coloring/viewing purposes and synchronizing with my PDA, because labels
aren't offered on Pocket Outlook (another thing that would be a nice feature
- or at least have Pocket Outlook use color categories like 2007!)  Anyway,
the labels aren't able to be modified, which is a mute point after it
migrating into 2007, but it is still a filter option.  And it also went back
to default labels after I changed the labels on some appointments, hmmm.  
Maybe you have could offer options to convert labels into categories, colors,
etc. instead of Outlook just choosing for you.