Equine Canada rules call for a "coat, shirt and tie, choker or stock, breeches or jodhpurs and boots" (Article G109 Dress), with no mention of jacket colour. An EC steward confirmed that the hunter rules do not discriminate against any jacket colour.
For equitation classes, the jacket must be conservative, so a loud or unusual colour would not be appropriate (Article G1003 Dress).
As far as I can find, USEF rules mention only formal attire, leaving the dress for less formal classes unspecified. Any readers who are aware of USEF's stance on jacket colours outside of formal (hunter classic, etc.) attire are welcome to comment with any further information.
While a jacket colour might be permitted, that does not mean that it is always a good idea. Loud or unusual colours will make your rounds or flatwork stand out, which could either work in your favour if you have a perfect round or against it by making small errors more memorable. While some judges enjoy the look of certain unusual jacket colours, others much prefer traditional colour choices and there is always a chance that this may subconsciously affect scoring.
Your turnout for more formal classes should always be on the conservative side, so save the bold colours for those classes that are not classics, derbies, or even on the more formal weekend.
As always, steer clear of the jacket colour of your country's national team, as well as from anything like local hunt colours unless you have permission to use them.