Yes, often in colors more vivid than this world's... but only when the dream actually gets that lucid.
I just recently had a very short but extremely lucid dream (premonition?) of me sitting at my desk viewing the computer monitor (with XP explorer opened on some DKCLB related folders!!), I saw what appeared to be some sort of vibrational, grid-looking, transparent "structure"
(seemingly part of the light coming out of the monitor, or maybe it was just my "dream vision" picking up on other-dimensional subtleties - this usually doesn't happen even for extremely vivid dreams).