Knitting colorwork will make a thicker fabric in every case except striping. So, let's consider that. There are benefits to having a thicker fabric, including added warmth and added durability, but these can also be drawbacks. You want your garment to be appropriate to its intended use. Sweaters that make you sweaty are rarely a good thing.
How much warmer will the garment be? Assuming you're using two yarns of the same weight, it's going to be about 1/2 warmer, based on how much air it traps. So if you're working a sweater in 1 strand of worsted wool, it gives you about 10 degrees F of temperature insulation. In colorwork, it will give you about 15 degrees F of insulation. If that's too much, go down a weight in both yarns to a DK. You'll have approximately equal warmth.
The same goes for durability. The increase in durability comes from the two layers of yarn. If you're looking to knit a fabric with a very delicate texture, you may need to lighten your yarn choices. If you're trying to make a certain yarn more durable, and thicker is desirable, wool, silk and linen are very strong. Nylon, rayon and tencel are usually very strong. Mohair, angora, alpaca, and cashmere are all usually spun quite loosely, and are fibers that are weaker in all cases. This combining of two different yarns works best in cases of two yarns held together.
Remember that when you're contemplating a colorwork project, you'll need to buy more yarn. You need to remember that you'll be buying at least one skein per color. If the pattern is unclear about the amount needed of each color, ask your handy LYS clerk. They will guide you to the correct amount, and you can shop with confidence.
Naturally, you'll also need to swatch in colorwork. I don't care what the pattern says. Everyone's gauge is different in colorwork than it is in plain knits. (It's also always tighter in the round than on straights, but I digress.) Knit along and get your gauge. You'll be eternally glad you didn't waste your time making an entire garment that is the wrong size.
Next article: getting the project on the needles.