You can't change it from the nasty purple color Apple imposes on everything.
There was an extremely good app called Week Calendar HD which was very similar to the Apple native Calendar, but allowed you (among other things) to color-code events and change font sizes. Apple saw it was better than their own app, so in a typical act of childish spite, they disabled it. You can still get the iPhone version of it, but that's not ideal for the iPad.
There are numerous alternative Calendar apps, but I've looked at them all and none come anywhere near the Week Cal HD for its simple functionality.