That was definitely the one that stood out the most to me. It's always one of the first movies that comes to mind when I'm thinking about color in film.
Agreed, though at times "Hero" is borderline heavy-handed with color. However it manages to remain beautiful. One thing I've learned, though, from a set-designer friend, is that nearly every movie is highly attuned to color and lighting.
If you're looking for other films that use color in interesting ways, check out the "Three Colors Trilogy" by Kieslowski.