I wouldn't apply those format changes directly in the argument of the sectional units since the formatting changes will also appear in the ToC and in the headers producing undesired results; the following minimal working example reproduces the problem mentioned:
\documentclass{report}
\usepackage[dvipsnames]{xcolor}
\usepackage{lipsum}
\pagestyle{headings}
\begin{document}
\chapter{\color{Maroon}My Title}
\lipsum[1-30]
\end{document}
since \MakeUppercase is used to produce the headers, LaTeX sees the color name as "MAROON" (uppercased) and this triggers the error message
! Package xcolor Error: Undefined color `MAROON'.
To prevent this kind of problems, I suggest using the sectsty or the titlesec packages to perform changes to the sectional unit formatting. An example with sectsty:
\documentclass{report}
\usepackage[dvipsnames]{xcolor}
\usepackage{sectsty}
\usepackage{lipsum}% just to generate text for the example
\chapterfont{\color{Maroon}}
\begin{document}
\chapter{My Title}
\lipsum[4]
\end{document}

Now that additional information has been given in the comments, it's clear that a different approach is needed since the fncychap package is beeing used to produce the chapter titles in the Conny style. The MWE reproducing the problem:
\documentclass{report}
\usepackage[dvipsnames]{xcolor}
\usepackage[Conny]{fncychap}
\usepackage{lipsum}
\begin{document}
\chapter{\color{Maroon}My Title}
\lipsum[1-30]
\end{document}
In this case, the modification to the title color can be done by using \ChTitleVar of only the title in the heading must receive color:
\documentclass{report}
\usepackage[dvipsnames]{xcolor}
\usepackage[Conny]{fncychap}
\usepackage{lipsum}
\ChTitleVar{\centering\Huge\color{Maroon}}
\begin{document}
\chapter{My Title}
\lipsum[1-30]
\end{document}

If the color change must affect all the heading, a possible solution can be obtained by redefining \DOCH:
\documentclass{report}
\usepackage[dvipsnames]{xcolor}
\usepackage[Conny]{fncychap}
\usepackage{lipsum}
\makeatletter
\renewcommand{\DOCH}{%
\color{Maroon}\mghrulefill{3\RW}\par\nobreak
\vskip -0.5\baselineskip
\mghrulefill{\RW}\par\nobreak
\CNV\FmN{\@chapapp}\space \CNoV\thechapter
\par\nobreak
\vskip -0.5\baselineskip
}
\makeatother
\begin{document}
\chapter{My Title}
\lipsum[1-30]
\end{document}

bookby any chance? Are you usingpdftex? Best is to provide a minimal working compilable example. – percusse Jul 22 '12 at 18:03bookdocument class, and simply added your\chaptercommand. It compiled and provided a maroon chapter title. – J M Jul 22 '12 at 18:11Package xcolor Error: undefined color MAROON.The name of the color appears uppercased in the message, which means (if you copied the error verbatim) that you used\color{MAROON}somewhere instead of\color{Maroon}. Please check that in your document you are usingMaroonand notMAROON. – Gonzalo Medina Jul 22 '12 at 19:17