When I annotate a paper book, I often use a highlighter to "underline" significant passages and a red pencil for margin notes. The different colors help to draw my eye to my notes when I am flipping through the pages. Annotations for e-books need not use color to exactly mirror my note-taking techniques, but I think they do need some mechanism for visually conveying the context of an annotation and for easily locating annotated selections of a document.
I don't annotate every book I read, but if a book is worth studying, it is worth annotating. Color is a convenient information channel for annotations, but not an absolutely essential one.
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