I think, the normal ones simply imply how valuable the are:
Best is orange, then yellow, green, white. Special/unique/set items are of a different colour to mark them.
I go for orange, if the stats are good - and in one case: for a set-item. Some of them are indestructible.
Sadly, a set can never be complete, as they are strewn throughout the acts and lose their set-item character after changing an act.