This explanation of what the flags really mean came originally from England, via the DC Region F&C newsletter:
Yellow Flag - Yellow is the colour of cowardice. The Marshals are calling you a coward. Keep your foot in it, and press on.
Red Flag - Red means anger. The Marshals feel that you are not aggressive enough. Keep your foot in it and press on.
White Flag - The white flag is the international sign for surrender. The Marshals think that you have given up. Keep your foot in it, press on and show them that you haven't!
Blue Flag - This means nothing. The Marshals will wave the blue flag when they have nothing else to wave. Ignore it. Keep your foot in it, and press on regardless.
Chequered Flag - This means that you have SLIGHTLY LESS than one more lap to overtake the guy in front. Keep your foot in it and press on.