At some point in the future I will write a whole blog post on how to defend against colour-kills, but in the mean time, here is some commentary from a real game. In this game, blue and red tried to kill yellow with the standard I5/I5 colour kill, and yellow played a very strong defense for a big win.
The following .blksgf contains the game, and a large number of comments, plus a few short variations to explore alternative possibilities. Most of the work was done by kuuk (thank you kuuk!), and a few late additions were made by me.
I hope you find it helpful!
Game file: here (link: http://dl.dropbox.com/u/27727822/Analysis/ColourKillDefenseAnalysis.blksgf)