By default, colors are specified by a Cycler object. Manually specifying a color in the pyplot.plot() (or axes.Axes.plot()) command (see Paul's answer) will change the color for a single plot. If you want to change the default color for all line plots, read on.
I'll start with an example derived from the matplotlib documentation:
import matplotlib.pyplot as plt
import matplotlib as mpl
import numpy as np
plt.ion() # Interactive mode on.
data = np.random.randn(50)
# Want to change default line color to cyan.
mpl.rc('lines', linewidth=4, color='c')
# Plot; linewidth changes, color doesn't.
plt.plot(data)

The color didn't change to cyan as desired.
Now, I noticed the following line at the bottom of the page in the sample matplotlibrc file:
#lines.color : C0 ## has no affect on plot(); see axes.prop_cycle
It turns out that in order to cycle through colors in default matplotlib plots, a Cycler is assigned to axes.Axes objects. We need to provide a different cycler with the color property we want. Continuing from the previous example...
plt.close()
from cycler import cycler
custom_cycler = (cycler(color=['c', 'm', 'y', 'k']) + cycler(linewidth=[1, 2, 3, 4]))
mpl.rc('axes', prop_cycle=custom_cycler)
for i in range(5):
plt.plot(data + i)

Woohoo! We changed the default color cycle as desired and learned about Cyclers in the process, which can cycle through other properties like linewidth too. Of course, if you want all plots to be of one color, just provide a list containing a single value to the Cycler.
NOTE: It's also possible to change the property cycler for an axes.Axes instance via axes.Axes.set_prop_cycle().
NOTE 2: As Paul said, don't use pylab; use pyplot. pylab is deprecated.