Try creating a material.
Create a material in Properties > Materials panel:
To simply add some color, you probably want to set the Diffuse color instead of the object color:
Object color only affects the render when enabled in Material > Options:
Object color is used to add some color variance per object without adding new materials.
AFAIK, Object color is not used at all in cycles.
To give an object a color in the render for cycles:
Create a new material in the Materials panel by pressing Add new:
This will automatically add a Diffuse shader.
Adjust the Color input of the diffuse shader:
To give the object a color in the 3D view set the Viewport color in Properties > Materials > Settings > Viewport color:
Note that the Viewport color is separate from the colors defined in the material which will appear when rendered. (It will only affect the 3D view)