I came across this color coded GPIO header for the Raspberry Pi Zero from the Pi Hut. This can be really useful while prototyping a circuit. 5V pins are coded red, 3.3V pins are coded yellow, Ground pins are coded black.
It can help avoid connections to the wrong pin.
I usually refer to the GPIO pinout when I am connecting to the UART or the I2C interface. I always mix up the pin names. I wish the header had side labels like the Arduino.
Given the header height, I guess it is not practical to have labels. You can buy the headers from here.