Just noticed that all the color stuff I wrote before was about using only one strand of yarn at a time. Holding multiple strands can also be a powerful way to use color, especially since thin yarns are often much more cost-effective than thick ones.
If you hold two strands together, the relative colors of the strands matters. If the two colors are similar, you end up with a fabric of a third color that is not quite one color or the other color -- so holding a pink and an orange of similar intensity will give you a peach colored fabric. If the two colors contrast a lot, you end up with a tweed fabric, like holding an off-white with brown or navy. Either way, the fabric is more interesting than just using a single color by itself.
If one of the strands is multi-colored, even better.
Then there are also thin strands of texture: thin mohairs, boucle yarns, and furry things. These kinds of yarns may not show up in normal yarn shops (because they don't sell very well), but they do sometimes show up in thrift stores, as well as in stores for weaving supplies.
If you have a number of yarns that almost go together, but not quite, holding a single strand of a coordinating textured yarn (like mohair) can really help pull it all together. A single strand of mohair is also really useful because it lets you stitch with a much bigger needle/hook. The fuzziness of the mohair likes a looser gauge to make a fabric with a softer drape. The yarn you hold with the mohair gives it more body, another good thing.