As Pyro says, search the perimeter of a square that you keep moving out one pixel at a time from your original point (i.e. increasing the width and height by two pixels at a time). When you hit a non-black pixel, you calculate the distance (this is your first expensive calculation) and then continue searching outwards until the width of your box is twice the distance to the first found point (any points beyond this cannot possibly be closer than your original found pixel). Save any non-black points you find during this part, and then calculate each of their distances to see if any of them are closer than your original point.
In an ideal find, you only have to make one expensive distance calculation.
Update: Because you're calculating pixel-to-pixel distances here (instead of arbitrary precision floating point locations), you can speed up this algorithm substantially by using a pre-calculated lookup table (just a height-by-width array) to give you distance as a function of x and y. A 100x100 array costs you essentially 40K of memory and covers a 200x200 square around the original point, and spares you the cost of doing an expensive distance calculation (whether Pythagorean or matrix algebra) for every colored pixel you find. This array could even be pre-calculated and embedded in your app as a resource, to spare you the initial calculation time (this is probably serious overkill).
Update 2: Also, there are ways to optimize searching the square perimeter. Your search should start at the four points that intersect the axes and move one pixel at a time towards the corners (you have 8 moving search points, which could easily make this more trouble than it's worth, depending on your application's requirements). As soon as you locate a colored pixel, there is no need to continue towards the corners, as the remaining points are all further from the origin.
After the first found pixel, you can further restrict the additional search area required to the minimum by using the lookup table to ensure that each searched point is closer than the found point (again starting at the axes, and stopping when the distance limit is reached). This second optimization would probably be much too expensive to employ if you had to calculate each distance on the fly.
If the nearest pixel is within the 200x200 box (or whatever size works for your data), you will only search within a circle bounded by the pixel, doing only lookups and <>comparisons.