This week AaronH shares some secrets of his configuration. You can check his whole config setup at https://github.com/aar0nTw/HomeConf but there is one special piece in that config.
If you use oh-my-zsh (and really, you should), clone https://github.com/zsh-users/zsh-syntax-highlighting in .oh-my-zsh/custom/plugins and add it in your .zshrc in the list of plugins=(). This will change color of your text if the command you type is not found.
As an extra tip, Aaron plugins list looks like:
plugins=(git rails ruby zsh-syntax-highlighting rake npm gem brew web-search rvm bundler tmux mux zeus github heroku colored-man copydir copyfile urltools themes postgres)