As other users have noted you can't do this in straight HTML, JS or CSS unless you pass all HTML, JS and CSS content via a CGI/PHP/ASP script - which isn't actually a bad approach as it's easy to maintain.
If you use a query string in the reference to included CSS / JS files - e.g. '/css/stylesheet.php?timestamp=2010-01-01+00:00:00', then almost all clients will aggressively cache your CSS/JS files, negating any impact on load parsing them in a scripting language may have (though unless the site is likely to be particularly busy I wouldn't be too connected about that).
If you are using Apache (which is likely), an alternative approach would be do use something like mod_set to re-write all HTML, JS and CSS files on the fly for you. This may be more difficult to support if you are not familiar with configuring Apache (or are using another web server).
With regard to tag naming:
With either approach I strong suggest using a clear tagging system to denote your dynamic variables (e.g. %MyBlue%) and to consider having variables names be representative (e.g. %HeadingBackgroundColor%, %FontColor%, even if both are set to %MyBlue%), as that can prevent things getting hairy later on (when you discover that changing one value has intended consequences).
Using more representative names may seem unnecessarily verbose at first glance, but it causes problems in many cases because colours end up clash in unintended ways when they are significantly different from the original scheme (this is true of a lot of mainstream software which is skinnable - because the author made the assumption that %value1% and %value2% would always go together and so would %value1% and %value3% - meaning in effect the options for themeing are severely limited by an unintended dependancy).