While there aren't any real conventions, you do often see some "standards":
red = +5V
yellow = +12V
black = GND
These are common colors used in PC power supply outputs for peripherals. I have seen similar colors used on bench power supplies, but not always. Sometimes you see green or blue used to indicate a signal wire (which could be any voltage).
There is a standard color coding for AC wiring (household wiring) - that will vary from country to country; this tends to be a standard, but you are typically only talking about three wires, generally.
For the purposes of breadboarding, though, a few tips:
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keep the wires neat and tidy - don't make a rats nest or cross wires over each other if you can avoid it
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bundle or run next to each other "common" wires that serve a similar purpose (bus lines); for instance, if you have multiple lines driving a row of LEDs or something, run them together in parallel in your layout
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for wires that serve a common purpose, like above, unless you have a particular reason not to - use the same color
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use clear tape to hold wires down - NOT other wires