There are some ways to change the crosshair color in AutoCAD. I made this post since I saw a user in the newsgroup having problem to see the dark blue color on the Z axis.
Tools>Options>Display>Colors and you will see the Drawing Window Colors dialog box that gives you quite many options. This is available in AutoCAD 2006 and later.
This works for other elements like the crosshair in 2D that normally look like but when tinted white it look like this and if tinted green it look like this .
Unfortunately it's not possible to change the colors on each of the axes but changing the color and using Tint for X, Y, Z goes a long way.
Now this works great in 2D Wireframe mode and in model space (tilemode=1).
If Conceptual is active or if you are in a layout all axes are in one color.
But there is a way to get color if you don't have. This might depend on your graphic card.
Tools>Options>System>Performance Settings>Manual Tune>Uncheck Enable hardware acceleration
This helps at least in model space. Not in paper space. But you will most probably lack of performance using software acceleration.
From the help file on Tint for X, Y, Z:
Controls whether X, Y, and Z axis color tinting is applied to the following interface elements: crosshairs pointer, Autotrack vectors, ground plane grid lines, and drafting tooltips. Color tinting applies pure red, blue and green hues using the luminance (lightness) of the color you specify while increasing the color saturation by 50%.