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All camera sensors are actually black and white. To obtain color information, the sensors have a color filter. This filter is optional/interchangeable in this camera. To obtain a color photo, you take three shots with three different filters (R,G,B). This way you can also get UV, IR pictures - and more.

To clarify that a bit more: consumer camera's use a Bayer filter, which is an alternating R/G/G/B filter over your pixel array. So, with a consumer camera you take just one picture, and then software assembles that into a color picture.

For space missions you would definitely prefer a camera with interchangeable filters, because then you can also have filters for other spectrum ranges.

Here is a color photo: http://photojournal.jpl.nasa.gov/jpeg/PIA16032.jpg

Most (all?) of the pictures so far are from the hazard-cameras, which are used by Curiosity to make sure it doesn't fall off a cliff. (Or, less dramatically, to make sure it doesn't get stuck in some gravel.) The fact that the images are beautiful to us is just gravy.