I have painted my car calipers before. You just have clean it VERY good. spray a good primer then your desired color. A clear coat would look nice too. There are also places that do it professionally too, but be prepared to shell out some dough.
I just painted my brake calipers silver. Its looks good. I used a G2 caliper kit. I did a how-to but havent finished it yet but here ya go - http://www.highbimmin.com/Install/Brakes.htm. I will get it finished with pics of the painted calipers later this week.