Ok, I had to chime in here since one of my hobbies is doing henna designs on people.
As for colours, no, you cannot have different colours if you are using natural henna. The stain will vary depending on:
a) your skin tone
b) where on the body you put the henna (inside of hands and soles of your feet turn out much darker)
c) where the crop comes from (India, Morocco, etc etc) and the crop year (like all crops, things can change).
All in all, the colours are basically shades of orange/red/brown.
NEVER buy "black henna"! NEVER!!!!! It is not even henna, it is in fact concentrated black hair dye. This is why people tend to have alergic reactions to it (and some even end up with scars due to this). Any time you get henna done, please ask what kind of henna it is. If someone says it is black henna, please just walk away! It is not worth the risk.
The smell of henna: as someone pointed out earlier, there are many things you can do to help change/mask the smell of henna, the most popular being to add essential oils such as lavender (recommended for pregnant women), cajeput, orange blossom, etc.
Chemicals: If you buy good henna, there shouldn't be chemicals in there. It should only be the henna in powder form (or perhaps some people can buy it otherwise), no additives other than the occasional twig from the plant. Now, if you add anythign to the henna, that's when things change. Read the next 2 paragraphs to know what gets added in.
Staining of the skin: I usually just take the powder, add some lemon juice and some glucose (sugar). I let this sit in a warm spot overnight to let the dye start its release. I then add some essential oils (which helps deepen the stain) and let it rest a few more hours. Then I pass is through a stocking and put it into the henna cones and stick them in my freezer. Simply take them out 15-20 minutes to let them thaw out and you are good to go.
Henna for hair: Just add some lemon juice to the powder. Let it sit overnight, add a little more lemon juice or some fragrant tea and you're good to go! You can add clove powder or cinnamon to make things smell better but it may irritate your scalp. Do not add oils. I really do not suggest you buy what they sell at pharmacies as they often have some chemicals thrown in and some strange metals. This is when people run into problems (going to regular hair dye after and getting green/fried hair). I haven't seen anyone walk around with a stained skin from this.
You can use other products to help change the colour of your hair (mix and match with henna to make different colours): indigo, cassia, amla.
I feel as though I just wrote a book...