I don't know if there is multi-coloured broccoli, but you CAN get green or orange cauliflower.
Basically the only way to get the them to grow in different/non-typical colours is to hybridize them with other vegetables and hope that you get a desirable offspring. You then have to breed from that offspring and get more seed and more seed and more seed until you have enough to plant make a real crop of it! but the trouble with hybridizing is that it often won't work... for instance, you can usually cross things that are in the same plant family (brasiccas like broccoli, turnips, and cauliflower mix well, nightshades like potatoes and tomatoes mix well, and bulbs like onions, leeks, and garlic mix well), it is hard to mix plants that are not of the same family (ie a beet and a corn plant)
I think the genetically modified thing can sometimes work for this too. But its more costly and difficult than just planting two different species beside each other and cross-pollinating them.