Does THHN Wire come in different colors?
Yes, THHN wire comes in a standard 10 colors including: Black, Brown, Blue, Gray, Green, Orange, Red, Violet, White and Yellow. Occasionally a distributor or manufacturer will have THHN in pink as well but it's a little more unlikely. You can also stripe THHN or THWN if you need another color option. Usually the green wire is made into a green with a yellow stripe but you can use your imagination.
Does electrical wire come without the nylon coating on the wire?
Yes, you can get something called THW wire. The "N" in THHN and THWN both stand for Nylon so you can see that the THW would be the THHN without the nylon. It will be difficult for you to find THW because there isn't a lot of manufacturers that stock this wire. You could use hook up wire in place of it but it will be much more flexible than the electrical wire. Hook up wire can come in bare copper instead of its usual tinned copper and the smaller awg sizes can come in a solid version. However, the bigger awg sizes will be much more flexible than the standard electrical wire so you should be careful or it might get bunched into the conduit.
Romex® and UFB cables are both made with THHN wires on the inside of the cable and provide the exact same function. However, Romex® wire was made to be an indoor cable with a cheap outer jacket to make it more affordable for electrical contractors. The UFB cable is an underground cable used outdoors because of its tough outer jacket. UF stands for underground feeder and the B stands for ground wire. Most UFB cables come with a ground wire anyways because it's usually needed for the job.
Please call with any questions you might have.