Summary from Alan on Airgunguild:
White: used on NPT threads up to 3/8 inch
Yellow: used on NPT threads 1/2 inch to 2 inch, often labeled "gas tape"
Pink: used on NPT threads 1/2 inch to 2 inch, safe for potable water
Green: oil-free PTFE used on oxygen lines and some specific medical gasses
Gray: contains nickel, anti-seizing, anti-galling and anti-corrosion, used for stainless pipes
Copper: contains copper granules and is certified as a thread lubricant but not a sealer