Most lobsters colouring is produced by mixing of yellow, blue and red pigments, causing their bodies and claws to be redder and their legs to be greener. (By the way, lobster are not red until they are cooked, they are generally brownish-green alive).
White is in fact not the only unusual colour of lobster, there are also yellow and blue lobster. The albino lobster's white-colour is caused by a lack of melanin. The rarest, around 1 in 100 million lobsters are believed to be albino.
Blue lobsters are the most common discolouration found, an estimated 1 in 2-5 million lobsters are blue. In 2009, a New Hampshire fisherman thought he'd caught a beer can at first after catching a blue lobster! There are also yellow lobsters, at about 1 in 30 million, and have been found from Nova Scotia to Hawaii. There are even calico lobsters, and occasionally split-coloured lobster that are different colours on different sides. None are as rare as the elusive albino lobster though.
Interestingly, observers are waiting to see if the albino lobster, festively named, "Santa Claws," will moult into another albino layer, or if albinism in lobster is a temporary condition.