Change mac menu bar color
Unfortunately, there's no setting to change the color of the menu bar itself.

LeoColorBar

As penguinrob suggests, you could set the menubar to translucent, and influence its color by changing the color of the part of the wallpaper underneath the menubar. LeoColorBar, pictured below, basically automates that for you.



Despite the fact that it hasn't been updated in a while, it's worked perfectly for me in Lion.

A black menu bar

Alternatively, there are applications like Nocturne that you can use to set your menu bar to dark gray. 



MenuBarFilter is another application based on Nocturne that turns your menu bar black.



The latter two applications, however, didn't work very well for me in Lion (especially in full-screen mode), so your best bet would be to stick with LeoColorBar.