Dan,
The "classic" painted finish is black, either flat or semi-gloss (gloss in scale). However, I've seen wrought iron fences and gates painted in brighter colors, but these examples are pretty rare in my (admitedly limited) experience. I think other colors would be more a matter of local customs and home owner tastes.
If left un-painted, it simply rusts like any other iron material.
Aside from doing some architectural research on the historical cirumstances of the time and place you're modeling, there is nothing "set in stone" regarding the color of wrought iron. I don't suppose the "historical diorama zoning board" is gonna issue you a citation for violating the approved local fence color rules. ;-)
In the end, I guess it's really up to your own "artistic" vision for your finished work. You could go with "sombre" dark colors or brighter "whimsical" colors depending on the mood you're trying to establish, or you could go with a damaged or "un-maintained" rusty look if that contributes more to the final look you want.