To answer your first question. There are three main types of police light (called light bars). Halogen, strobe and LED. Halogen is the oldest and up until a few years ago, the most common. Very basically they, are a light bulb with a mirror spinning around it. They are cheap, but halogen light bulbs burn out quick and the light bars have a lot of moving parts, so compared to other light bars, they are high maintenance. Also, they draw a lot of power.
Strobe light bars use strobe lights (similar to what you would see in a haunted house). They are exceptionally bright. But they do have a few draw backs. Strobes due burn out and are expensive to replace. Also, like halogen light bars, they draw a fair amount of power.
LED light bars are the newest (and probably what you are seeing on your local department’s cars). While LED light bars tend to be the most expensive, they cost almost nothing to maintain. An LED can last up to 100,000 hours and LED light bars have no moving parts. So after the initial investment, they are cheaper than strobe or halogen. They are also very bright. So bright in fact that many companies now give the officers the ability to “dim” the lights at night. So they will warn the motorist to move out of the way, but not blind them. And finally, LED light bars draw a fraction of the power of a strobe or LED.
Most departments are now using LED lights and I suspect in a few years, 90% of the police cars on the road will have them. If for nothing else, the department can buy one and be confident that it is probably going to last 10 years.
As for the colors. Many states use both red and blue because red is easier to see during the day and blue at night. Yellow is used just as a general warning (it is a good all around color for people to see). Yellow is typically used for traffic direction in the form of an arrow stick pointing motorist in a certain direction (generally over to another lane).
Some state laws dictate what lights emergency vehicles have to use. These laws are generally old and many are being changed due to new research into lighting and how the public reacts to a certain color light.