A list of comics where you can find unnatural hair colors.
Lots of examples in Marvel comics. From X-Men, we have Polaris, who has green hair as part of her mutation. Her father Magneto and half-brother Quicksilver both have silver hair. Storm inherited white hair as the latest in a long line of mystical African shaman priestesses. Rogue has a white streak in her auburn hair which is natural (though, in the movie continuity, it's a side effect of having the power drained from her to power Magneto's mutation machine at the end of the first movie). Nate Grey also had white forelocks. Psylocke originally dyed her hair purple, but after her genes were scrambled by the villainess Spiral, the color seemed to be permanent. Phyla-Vell (Quasar) and her brother Genis-Vell (Captain Marvel) both have white hair as part of their Kree heritage. Surge has said her blue hair isn't related to her mutation (it came in a bottle labeled "electric blue").
Less natural is the way that Rogue's white streak changes size and location depending on who's drawing her at the time, from two streaks at her temples to a massive skunk-stripe covering the entire crown of her head to, currently, just her bangs.
The reasoning for the first change was that, apparently, Walt Simonson or Paul Smith suggested that her hair have one central streak rather than two streaks near her temples, as the latter made her look too much like a middle-aged woman as opposed to the 16-year-old she was. After that, your guess is as good as anyone else's.
During Claremont's first run on the title, Rogue's hair was mentioned as being dyed at least once. Whether this is still true is anyone's guess.
The Joker from Batman has neon green hair caused by the chemicals he fell into. * "Impossible" hair colors have never been common in Western Comics, and when they are used, there is usually an explanation of some sort (e.g., The Joker, above). There is one exception, however. By longstanding convention, black hair in traditional "four-color" comics is drawn as black with blue highlights. Otherwise, black hair would tend to look like an undifferentiated blob of black ink. (One might think gray highlights would make more sense, but gray is a notoriously tricky color to reproduce consistently in four-color comics.) To the uninitiated, this can look peculiar, leading people to wonder why Superman, for example, has "blue hair". It's often brought up with regard to Superman in particular, but the technique was used for any character with black hair (including Wonder Woman, Bruce Wayne and Dick Grayson, Lois Lane, etc.). Modern comics, which have better printing and wider color palettes, tend to use gray highlights.
Samaritan, Astro City's Superman analogue, is drawn like Superman with perhaps a few more blue highlights than normal. However, amusingly, his hair is not black. He actually has blue hair as a side effect of his origin.
In his pre-Crisis incarnation, Ultraman, the evil counterpart of Superman in the Crime Syndicate of America from Earth-3, has blue hair. It's possible, though never confirmed, that this was an artistic Shout-Out to the basic concept of E3, which was that everything happened the opposite way round to all the other Earths; thus, Americans discovered Europe, Britain revolted in 1776 against its American overlords... and the Superman Expy had blue hair with black highlights. Post-Crisis (and with better printing technology), Ultraman's hair is now the usual black with grey-white highlights.
Lyla, Kal-El's alternate universe wife in Superman: Godfall, has purple hair.
The "Howard & Nester" comic in Nintendo Power had a Japanese artist for most of its run, which led to a few manga influences sneaking in. One of them occurred in Issue 3, with Nester showing off to a pair of children, one of whom was a blue-haired boy.
In the Scott Pilgrim comics which the movie was based on, Ramona dyes her hair blue. It's immediately lampshaded that, since it's a black and white comic, you can't actually tell what colour it is and you'll have to take her word for it.
The titular character of the manga-styled Christian comic Serenity has blue hair. It's explicitly said to be hair dye, and it's a plot point when she suffers a personal crisis and stops dyeing it for a while.
The Red Lantern Dex-Starr has blue fur. For most Red Lanterns, this would be excusable, as they're aliens...except Dex-Starr is an earth-native housecat.