The brand and type of food coloring matter a lot. Wilton doesn't color very intensely; but both AmeriColor and Chefmaster do. Also, you want to use a concentrated gel or soft (or liqua) gel coloring, not a liquid coloring. Depending on the intensity/saturation you want and how much icing you're trying to tint, you may need more than a few "drops" of coloring, however - more like several healthy squirts for very saturated colors. Also, as Econlady said, the colors (black, red, and purple, especially) will get more saturated as they sit and as they dry. So if you use a color that looks dark gray in the bowl, it may end up drying closer to black. You can always test what the end color will look like off the cookie - by painting a dab on white cardboard and speed-drying it for 30 minutes or so. This approach will give you a better indication of color without having to waste cookies in the process.
Also, adding brown to bright orange will make a more pumpkin color. Basic color wheel/chart/mixing theory applies to icing colors as well.