I've painted the calipers on a few of my cars. On my Silverstone Metallic S2000, the predecessor to my Z4 M Roadster, I painted the calipers red. I don't recall what I used, but several track sessions left the front paint singed and a few years of autocrossing and swapping tires caused the paint to chip when things weren't lined up exactly right.
Last year I painted the calipers gloss black on my wife's Le Mans Blue 335is Coupe. I used the
G2 Brake Caliper Paint System Kit. This product produced excellent results and after more than a dozen tire swaps last year they still look as good as new. I've documented this on the
Bimmerfest E9X forum and there are some pictures of the process there.
Here's a couple of shots from when they were first done:
I've considered painting the calipers on my Interlagos M Roadster and I'd probably go with
red.