Colours in the feather of a bird are formed in two different ways. Pigments, and the physical structure of the feather. Many feathers are coloured by a combination of these features.
Pigments are chemical compounds that absorb certain wavelengths of light while reflecting others. The colours you see are those reflected back. Feathers coloured by pigments range from crow black to canary Yellow and cardinal red.
Many colours, such as blue, are a result of feather structure. When light hits these feathers, it hits microscopic structures on the feather that act as prisms to reflect a colour. No blue pigment is known in birds. If you crush a blue scrub jay feather, or dunk it in water it will appear gray.
Shimmering iridescent colours such as those found in hummingbirds and peacocks are caused by special structures, air bubbles, or films in feather surfaces. These modifications interfere with the bending and scattering of light to strengthen some wavelengths, and cancel out others.
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