In the current (March 2008) issue of Reader's Digest they report on a study at the University of Southampton, England on the affect of artificial colors and preservatives on the behavior of children. The study concluded that hyperactive behavior only increased about 10% among kids that consumed the additives.
I think the real concern of parents should be the amount of processed food kids are eating. Provide your children with fresh and homemade food whenever possible. Fast food and the canned and boxed foods that line the shelves of the local market are most likely to contain large amounts of sodium, sugars and other refined and artificial ingredients. In particular watch what your kids are drinking. Soft drinks have been called liquid candy due to their high levels of sweetner in the form of high fructose corn syrup. There seems to be a link to the rising rates of obesity and the increasing consumption of HFCS. Get kids to drink water when they are thirsty, or provide alternatives like milk, and if your children won't drink a lot milk because they prefer the sweet taste of soda pop, have on hand some chocolate flavoring (buy the brands without corn syrup). Fresher foods and lower amounts of junk food will go a long way to insuring your kids stay healthy and learn good eating habits that will stay with them into adulthood.
Two views on HFCS (the first one below from the corn refiners):
The Murky World of High-Fructose Corn Syrup