I've dyed my hair almost every color in the
rainbow at some point in the last decade. A few thoughts:
Be prepared for people to look askance if you show up at the bank with cookie monster blue hair.
As noted above, be aware of what colors do and do not look good on you. Blonde was a very bad idea for me.
It's much easier to go darker than it is to go lighter.
If you have a job where you are not the boss, you might consider floating some trial balloons if you want to avoid a very uncomfortable first day at work with the new color.
The first day at work with the new color will be uncomfortable anyway if your cow-orkers aren't particularly hip.
If you choose a shocking color, be prepared to be good natured about the ribbing you will get from friends/relatives/random strangers. If you don't want to call attention to yourself, don't. If you call attention to yourself, don't get mad when people pay attention. It may not be the attention you want, but you pays your money and you takes your chances.
I had the best luck with Jerome Russell for darks (blues, purples, greens) and Punky Colors for lighter ones (reds, oranges, yellows, pinks).