If you ever have the opportunity to do a Colour Run then DO! It is the most fun you'll ever have with about 10,000 random people.
Wear glasses. The powder will get everywhere, including your eyes, so mind your peepers, especially if you wear contacts. Mine were ruined!
Ziplock Bags. If the venue doesn't have a bag drop then put your phones, cards etc in a zip lock bag if you must keep them on you.
Cling film. Plastic wrap. Saran Wrap. Whatever you want to call it, it will save the life of your camera! It'll stop any powder getting into the lens. So wrap it up!
Keep the colour on. On your shirt that is, not you. The powder will wash off easily, but to preserve the colourful state of your shirt spray it with CLEAR (not malt) vinegar and iron it in. This should prevent any running of colours.
Assault strangers with powder. That's what we all came here to do, let's not be shy about it...