I created an API called JCDP, former JPrinter, which stands for Java Colored Debug Printer. For Linux it uses the ANSI escape codes that WhiteFang mentioned, but abstracts them using words instead of codes which is much more intuitive. For Windows it actually includes the JAnsi library but creates an abstraction layer over it, maintaining the intuitive and simple interface created for Linux.
This library is licensed under the MIT License so feel free to use it.
Have a look at JCDP's github repository.
