It depends alot on what kind of fish you're feeding... small, large, aggressive, herbavores, etc...
IMO, standard frozen brine shrimp are pretty nutritionally barren.
But I like the spirulina enriched brine shrimp (spirulina is good for certain colors).
I also really like frozen plankton and frozen krill -- high levels of "red" color enhancers (Astaxanthin).
Mysids are great sources of HUFA, but allegedly are less good for color.
For big cichlids I like to use fresh or frozen shrimp from the grocery store.
For small fish my new favorite food is cyclops-eeze, it is loaded with Astaxanthin and smaller than adult brine shrimp. I feed it to my fw fish fry and to my reef tank.
http://www.freezerbar.com/
You should be able to find it at a quality LFS...
I also like to feed frozen Formula One and Formula Two foods for good color...