In the movie The Wedding Planner, Matthew McConaughey's character tosses out all but the brown M&Ms because food coloring isn't natural, and according to him, "chocolate is already brown," so the brown ones must be safe.
Yes chocolate is already brown, but remember that M&Ms, no matter what color they are, have a candy coating on the outside. That crunchy shell on the brown M&Ms isn't chocolate, it's colored sugar. So if you are avoiding food coloring like the good healthy person you are, don't bother with M&Ms at all. Stick with good ol' chocolate.