I couldn't find a Grey Death Friday Quick Tip for this last Friday the 20th, so I'm posting one of my own. Sorry there's no pics *yet*, but I'll get some taken and posted later today!
The basic technique behind painting hair is the same for the rest of the model: basecoat, wash, highlight. Sometimes one of these steps can be skipped in the interest of speed or skill, but you at least two are necessary for good looking hair. The Citadel Washes are indispensable here and can be used to produce almost any hair color.
Edit: These are my exodite warlocks and I apologize in advance for their quality...
I promise they look much better in person! There's this weird glossiness to all of them that's just not there in person. Just look at the hair for now.
Blonde Hair
This is probably the fastest and easiest to hair color to paint and looks very nice. First, basecoat with Skull White. Make sure that the coat is consistent and give the sheer quality (translucence that is...

) of the Skull White, it may take one or more coats. I've heard the Vallejo has a heavier pigment load and is able to provide better coverage in fewer coats, but haven't had the opportunity to use it yet. Once the white is completely dry - don't get impatient, let it dry completely! - give it a wash of Gryphonne Sepia. Once it dries you'll have a very natural light blonde color! If you want it to be a darker, richer blonde or a very light brown, give it a second wash after the first dries.
Brown Hair
Darker browns are a little more difficult to reproduce, but I've found a trick that works nicely to give a natural looking result. First, basecoat the hair with a mid-range brown color like Graveyard Earth. I also use Reaper's Oiled Leather for a slight variation in tone and depth so no two models are identical. Then, choose a highlight shade: for subtle highlights, mix the next lighter with the basecoat shade (Graveyard Earth and Kommando Khaki for example) or use the next lighter shade by itself. Run this on the raised edges of the hair almost like a hardedge highlight. Finally, wash it with either Devlan Mud for a darker, ashy brown or Ogryn Flesh for a warmer brown. The wash will tone the highlights down and blend it with the base color.

Darker Brown, Dramatic Highlights

Lighter Brown, Subtle Chestnut Highlights
Red Hair
Natural looking red hair can be difficult to reproduce in miniature, generally being a combination of red and gold that ends up more orange or more red. Being a fan of scarlett reds I tend to take that route, which is more reliable if less natural. First, basecoat in a midtone brown like Graveyard Earth and highlight with a shade or two lighter like Kommando Khaki or Bleached Bone. Next, give the base and highlights a smooth, even, coat of a sheer red shade - I generally use Blood Red, but if you want burgandy reds, use Red Gore and if you want a warmer auburn red, try mixing Blood Red with Blazing Orange. One coat is usually enough to give the brown a very red base tone. Finally, wash it with Ogryn Flesh for blending and dimension.
Gray or White hair
Gray or White hair is essentially the same thing: hair that has no color. This makes it pretty easy to paint since you'll be using a light or dark gray as your base color - I use Fortress Gray. You don't want to overwash it or it will look more like blacklining so dilute the Badab Black with matte medium equal parts. Then, highlight with Fortress Gray or Skull White or a combination of the two.
Black Hair
Black hair can be done the same as any other black with gray or white highlights.
Unnatural Colors
I've used these same techniques to produce unnatural hair colors as well, with great results.
Purple: Basecoat white, wash with Leviathan Purple one coat for a light purple, two for a vibrant and rich purple
Blue-Black: Basecoat Regal Blue, wash with Badab Black.
Deep Blue: Basecoat Regal, Badab Black wash, Regal highlight.
Any hair painting tips or tricks that you use?