Start by going to /System/Library/CoreServices. There you'll find an application called Dock. Right-click it and select Show Package Contents. In the new window that appears, open the Contents folder, then go to Resources. You're looking for two files: expose-window-selection-small.png and expose-window-selection-big.png. First, make backup copies of these two files and move them to a safe backup location.
Now create two copies of these files and move them to your desktop, with the exact same names as the originals. Open these desktop copies in your favorite image editor (you may need to adjust file permissions) and change the color. A bright color like yellow or white is nicely visible; if using Photoshop, the Hue/Saturation tool can be handy for this. Just make sure you choose the same color for both files and don't alter anything else about the images, such as their physical size.
Once you're done, save the files to your desktop. (If asked, select no interlacing.) Using Finder, copy the edited files from your desktop back to the Dock package, replacing the originals. You'll be asked to authenticate.
When you log out and then back in to your account, activate Exposé to see the changes. If you don't like the new color, or if there's any problem, restore from the backup copies you made; log out and back in again to go back to blue.