Using a LDR or Photoresistor, are they more sensitive to one color or wavelength compared to another? Or are they consistent with any light? Why?
Based on a random LDR's data sheet, yes. A photoresistor's sensitivity is a byproduct of the chemical used to create it.
This one, a CdS cell, peaks around 545 nm wavelength, which means it is much more sensitive with Green, Green-Yellow light than it is UV/Violet/Blue or Red/IR. It's also fairs better along the higher wavelength colors, Yellow/Orange/Red, than it does with lower wavelength colors, Cyan/Blue, based on it's sharp decline to the lower wavelength.
It also depends on the type of LDR you are using. Typical visual light LDRs use Cadmium-Sulfide, CdS. Other LDRs are IR range, based on Lead sulphide, PbS, or variants.
There are also variants of the CdS with different peak wavelength response, based on this data sheet:
Cadmium Selenide, CdSe, peaks just outside of Red into InfraRed. Hybrid cells using both, Cadmium Sulfide Selenides, Cd(S-Se) range in the Orange and Red visible wavelengths.
Notably, natural sunlight, while covering the entire visible spectrum, slightly peaks in the blue-green and green ranges, matching the peak response range of a CdS Photoresistor nicely.