Once you have highlighted something, go back and tap on the highlight (select it). A menu will pop up with an option named "Color...", select the Color option and use the color wheel or the fixed options to go technicolor on your docs.
As so many people have already said, Goodreader is one of the best apps for PDF file power-users.
Here's a link to the official Goodreader usual manual - you need to hit this site if you really want to use GR to the max:
http://www.goodiware.com/gr-man.html