Oh, what a fun topic.
Yes, it is something that many, many people (including researchers and academics) have been interested for quite a long time.
You might enjoy reading up on it.
Here is a very quick scan of information that is easily available (sorry for the longish post).
This article is about rat research : "Coat color, temperament, and domestication"
http://www.ratbehavior.org/CoatColor.htm
And this one is about cats : "Is Coat Colour Linked to Temperament
http://www.messybeast.com/colour-tempment.htm
And a synopsis of the well know study of domestication in canids : "How Farm Foxes Trace Back the Process of Canine Domestication "
http://www.suite101.com/content/interesting-studies-concerning-dog-domestication-a187309#ixzz1A9TQiiv1
or
http://www.suite101.com/content/interesting-studies-concerning-dog-domestication-a187309
And finally, from http://www.akerrsbengals.com/temperament.htm
This is a fairly complex concept that comes from some observation and from conjecture. Melanin is what colors the hair… and behaviorist surmise: (Beaver, Bonnie: Feline Behavior: A Guide for Veterinarians. WB Saunders Company. Philadelphia. 1992; page 102) : ?Epinephrine has the same metabolic pathway as the pigment melanin, and the same precursor is need for synthesis of both. Genetic manipulation of coat color could then be useful for breeding in or out certain behavioral characteristics such as fear and aggression.?
Helmut Hemmer, Domestication: the Decline of Environmental Appreciation. Cambridge University Press, NY 1983. ?The coat color of a mammal is related to the basic level of its activity, its reaction intensity and its environmental appreciation. The reason for this is probably to be found in the fact that up to a certain stage the pigments that determine color - the melanins - and the catcholamine group of neurotransmitters that are to a large extent the basis of the information processing system share a common biochemical synthesis pathway. Selection of certain coat colors can produce a behavioral change with a corresponding change in the stress system either towards attenuated behavior and increased tolerance or in the opposite direction. Combinations of the alleles of single color genes that deviate from the corresponding wild-type increase or alter their effect on behavior. It follows that the strategy of selecting and combining certain coat color types can produce direct effects on domestication.?
Clyde Keeler in the USA has done studies on laboratory rats, ranch mink, and foxes. Here is a summary of his studies which are often observational. He was visiting a fox farm. (Fox, Michael: The Wild Canids: Their Systematic, Behavioral , Ecology, Evolution. Reinhold Co. NY., page 399. ? All the foxes near me were ambers with an occasional glacier. Farther away I could recognize a pearl or a silver and in the far distance a few platinums. Red foxes never show themselves like this, although they sometimes find their way into the range - nobody knows how.? From this observation , Keeler began a lifelong work in coat color and behavior genetics. ?Quantitative determinations of behavior, size development and biochemical parameters in ranch foxes were the most significant of Keeler?s studies? The colors are as follows: (Fox, 123) ?The animals used were wild red foxes, silver foxes (that is the non-agouti black animals with a silver allele): and pearl, a breed color that combines the non-agouti allele with a dilution allele (blue), amber which carries the brown allele of the piebald allele and for the non-agouti (black) allele of the agouti locus. The offspring were bred further and the behavior of the wild-colored animals (ones in which the agouti allele of the agouti locus was expressed) and the bland animals (with the non-agouti allele) was compared. The non-agouti black rats proved to be less timid and less aggressive and showed more confidence in new situations by exploring them more quickly. Albino rats in these experiments proved to less ready to react to olfactory stimuli than others.?
Keeler also studied rats. (Helmut Henner) ?Keeler first crossed brown rats with albino laboratory rats that , in addition to the albino allele, were homozygotes for the Black locus in addition to the two former alleles, and glacier, animals in which a white allele is add to those for the amber coloring.? This is a very elaborate study that measure adrenal gland response, size, and many other areas statistically. In essence, the amber fox behaved with the least amount of fear, and is also the largest of the fox in size. The more heterozygous for color the animal was, the ?less fear it exhibited?. Keeler went on to study mink and found that color made a difference in size and in behavior. Again, ?the heavier, animals (pastel mink, ie. light brown) had smaller adrenal glands and were characteristically less active and aggressive, that is, they behaved more tamely.? (Hemmer)
Zebras have been studied, Hemmer, (p. 127) sites a study done by Eckehard Eich and Elisabeth Reichert. ?The activity values of the ?whites? coincide with those of domestic horses and donkeys, while the values of the normal-colored zebras differ distinctly from them. ?White? (albino) zebras are less shy of observer in the enclosure than others.?
And still quoting from http://www.akerrsbengals.com/temperament.htm
There are many more studies than I can even begin to note here… however, it should be pointed out that this is being studied and is not a known fact. It could very well be that hair color does indeed follow the same pathways and neurons but I go back to the article in Discover magazine (Sapolsky, Robert: A Gene for Nothing. Discover. October, 1997. Vol. 18 No.10) : ?...By now, I hope, we?ve gotten past ?genes determine behavior? to ?genes modulate how one responds to environment.?? (p. 46.)
It would be a gross mistake to make broad range assumptions on behavior and color alone...
?most differences in behavioral traits are influenced by many gene, not just one or a few genes which means that inheritance will likely be complex.? Voith, Victoria and Borchelt, Peter, editors: Estep, Daniel ?Ontogeny of Behaviors?, in Companion Animal Behavior, page 27.
Fox bred for friendliness. Helmut Hemmer, p. 161-162. Chapter on New Domestications: ?In the preceding chapters, three principles of domestication were elaborated. (1) Wild animals seem to be more suitable for domestication the easier they are to breed successfully in captivity in crowded conditions. (2) Individuals from a species to be domesticated seem to be more suitable the smaller their relative brain size within that species. (3) The selection and combination of certain coat color types can elicit direct domestication effects. With the knowledge of these basic principles, it must now be possible to undertake purposeful selective and combinatory breeding for new domestications which enable the transition period between the wild and the domestic animal to be traversed within a few animal generations, in contrast to the domestication of animals of past millennia that proceeded slowly over hundreds of years and involved a great deal of chance. A further possible approach is to select rigorously for the typical domestic behavioral syndrome, where the fundamental suitability for domestication seems to exist according to the first principle but no differences in the populations or individuals corresponding to the other two principles can be defined.
An excellent example of this approach is provided by a study on breeding a fox that resembled the dog in its behavior, undertaken by K.K.Belyaev and L.N. Trut. This experiment was carried out with silver foxes on a fur farm belonging to t the Soviet Academy of Sciences near Novosibirsk. Young foxes aged between 1 1/2 and 2 months were selected according to the criteria of their tolerance of hand-feeding, their reaction to be handled by humans, and their response to being called. In this way, after 15 years of constant selection, foxes were finally bred that came when they were called, tolerated being petted and picked up by humans, wagged their tails in greeting and barked on seeing humans; in brief, they behaved in practically the same way as dogs.?
The study goes on to say that the foxes changed their reproductive cycles to resemble the domestic dog and the hair color of some of the fox changed to one of a piebald. Black and white fox.
She is playful and loves to pester the other dogs into playing, but thats not unusual for any dog I dont think? Certainly all my other dogs have their playful sides. Maya likes a good long run at least once a day, but as long as she has had that she will happily sleep on the sofa for the rest of the day, only waking up to be fed, or for another walk 
