Alexander Scriabin is one of my favorite composers. If you have not heard his 5th and 9th piano sonatas or Prometheus, you should. As always, Sviotislav Richter is the pianist you want to hear play them.
As was mentioned, color hearing is an instance of synesthesia - concomitant sensation. The most famous cases of this sort are Rimsky-Korsakov and Scriabin. Prometheus is the ultimate synesthetic piece as it was meant to be played on a color piano that projected colors.
The basis for Prometheus and many other works by Scriabin is what he called the Mystic Chord. It's a dominant 9 with a sharp 11. It is set-class 6-34 in Forte's list (013579).
Scriabin was a very interesting man with a remarkable life. If you are at all interested in late romantic music, piano music, atonality, russia or polyrhythmic music, you should do yourself a favor and familiarize yourself with the man.