It's moderately gross just to accomplish it for one particular choice of character, but the spectacularly gross bits are involved in packaging it up in a nice little function that takes a character as an argument and computes its math character code and sets up the right macros. I used pretty much every dirty TeX trick I know of: token lists, a counter, \expandafter, \afterassignment, \edef, and the truly wretched \lccode/\lowercase hack to get an arbitrary "active" character.
Ah, TeX. It really succeeds in combining the simple-to-understand control flow of aspect-oriented programming with the high-level expressivity of assembly language.
\documentclass{article}
\usepackage{color}
\def\makemathactive#1{\mathcode`#1="8000}
\def\rappend#1#2{{\edef\res{{\the#1\the#2}}\global#1=\res}}
\def\rprepend#1#2{{\edef\res{{\the#1\the#2}}\global#2=\res}}
\def\rbracify#1{{\edef\res{{{\the#1}}}\global#1=\res}}
\def\appaz{\rappend\atoks\ztoks}
\def\prepza{\rprepend\ztoks\atoks}
\def\bracify{\rbracify\atoks}
\def\append{\afterassignment\appaz \ztoks=}
\def\prepend{\afterassignment\prepza \ztoks=}
\newtoks\atoks
\newtoks\ztoks
\newcount\mycount
% char, mathcode, color
\def\buildatoks#1#2#3{
\atoks={\color{#3}\mathchar}
\append{#2}
\bracify
\append{\egroup}
\prepend{\bgroup}
\bracify
\prepend{\def#1}
}
% mathcode, char, color
\def\doit#1#2#3{{\lccode`~=`#2 \lowercase{\buildatoks{~}}{#1}{#3}}%
\the\atoks \makemathactive{#2}}
% char, color
\def\colorify#1#2 {\mycount=`#1 \advance\mycount by "7100
\expandafter\doit\expandafter{\the\mycount}{#1}{#2}}
\colorify{A}{red}
\begin{document}
A$ABC$
\end{document}
This yields a black A, then a red A, then a black B and C, the latter three characters in italics.
