Simple approach: You could use PHP to retrieve the allowed values from the current user's profile. Place that PHP code in the allowed values field of the content type.
If the user changes her favorite colors and then edits an existing node, it may cause loss of data (if that node had a color that was removed from their favorites, and hence is no longer a valid selection). You'll have to decide what to do in that and similar corner cases.
Ted
The PHP option doesn't seem to be available in D7 unless I am missing something.. :(
Might need to look at a more complex option being the "relation" module..