I posted my "Setting Planets" entry on an astronomy list, and was informed that the cause of the planets' changing colors close to the horizon was "a result of various air densities refracting the light". Thanks to Dave Adalian for that.
My understanding of this is that the more atmosphere you have to look through to see a planet (or the moon or a star for that matter), the more that extra air will effect the light. And when the air is turbulent (as it often is), the density of the chunk of air you're looking through will change, and will bend the light in different ways. For a star, that's what causes the twinkle; for planets, it changes the color.