Generally all colors burn the same. The power itself is the same.
What varies, is sensitivity of different materials to colors. Some materials are better burned with red, some with blue, some with infrared. Generally when the color of material and laser are similar, it wont burn well. So green wont be burned by green .. but will be burned well by red. Those are the basics.
But then are extreme colors. Infrared, and ultraviolet .. which can be used to 407, and even 445nm (blue and violet). You can't tell how materials will absorb these wavelengths by just looking at them. For example white paper. It's almost impossible to burn it with green or red. As for blues, some papers can be burned well .. some can't. Same for infrared. Generally 405 or infrared burns more materials .. but it's just hard to predict sometimes.
If you are into burning stuff, I'd say you start with 200mW red .. cheap, 'relatively' safe, can burn wood, CD case, match. Then after you feel you can handle such laser, you can move to 445nm, as it provides best power per money. But it's a lot more dangerous.