Like many cheeses, the color of cheddar is often modified by the use of food colorings. Annatto, extracted from a tropical tree, is frequently used to give cheddar an orange color. The origins of this practice are clouded, but the three leading theories appear to be to allow the cheese to have a consistent color from batch to batch, to assist the purchaser in identifying the type of cheese when it is unlabeled, or to identify the cheese's region of origin. In the United States, cheddar that has not been colored is frequently labeled as "white cheddar" or "Vermont cheddar", regardless of whether it was produced in the state of Vermont.
http://www.wikipedia.org/wiki/Cheddar_cheese