Red was the Autobot version of processed energon with balanced effects.
Yellow was the Decepticon version of processed energon with offense based effects.
Blue was Super Energon which aided combination.
I don't think the other colors were specifically stated as to their effects, though purple is probably akin to blue. Also, for some reason the Superlink figures came with green weaponry when it should have been yellow.
Most of the weapon sets were give a ways or pack-ins with other figures. Not all weapons came with corresponding energon chips. I have most, but not all. I'm still missing the green axe variations as well as the purple axe. The all gold Shadowhawk weapons I've never even seen...
I come armed with pics:
Night Phantom Energy Blade (available when buying Grand Convoy or Wingsaber):

Daylight Attack Energy Cutter (available when buying Grand Convoy or Wingsaber)

Starscream Reverse with Chromehorn weaponry pack-in bonus:

Hotshot with Hotshot Fire's orange energy cutter

Various Skyblast repaints:

Inferno with Skyfire Sonic's orange energy spear:

Optimus Prime with Royal Clear energon spear (Purchased with Grand Convoy, Posful exclusive)

Battle Ravage variations:

Doomlock variations:

Insecticon variations:

Dreadwind with BotCon purple energy spear:

Combaticons with super energon blue weaponry and BotCon purple energy spear:

Sharkticon with Lightning Yellow energon spear (TRU Japan exclusive):

Shadowhawk Cosmos:

Galvatron G with pack-in purple energon blade:

Classics Optimus with Roadbuster Wild orange energy axe:

BotCon Laserbeak and Buzzsaw:

Arcee variations:

BotCon blue energy spears are shown on Stormjet and BotCon Ironhide: