As a general rule, I match the color of my lead heads to those of the lures. This is to keep a certain homogeneity of the lure + lead head set and to keep the same logic in the choice of lure color according to water color or luminosity. Once I've selected the lure I want to use, I choose the lead head accordingly.
Fluorescent head
Visible lead heads, often fluorescent red or orange, are best suited to tinted waters and to accompany lures in chartreuse, green or orange colors. They are easy to see and give the fish a reference point. They can also be used in clear water and with unrelated lure colors. Some anglers will want to play the contrast card and give the fish a signal. Generally speaking, bright heads should be reserved for use in murky water or low light conditions.

Natural head
Natural-coloured lead heads are designed to match natural-coloured lures, such as those featuring white, brown or blue. These are lead heads to be favoured in clear water, in combination with a similar lure. They are very effective in conditions where fish are fussy.

Lead head
Finally, a large majority of commercially available lead heads are raw, i.e. unpainted and show the color of the lead they're made of. When it comes to vertical fishing, I prefer a painted head, but these heads still have their place. They have the advantage of being neutral and therefore versatile, whether in clear or tinted water, and all lure colors suit them. However, I think the artificial side is a little more perceptible to a fish, compared with a painted head, which blends in better with the lure.