Mark Christiansen's After Effects 7.0 Studio Techniques has a great discussion of film, HDR, and 32-bit compositing, but AE8 adds a few wrinkles with a complete color management workflow through Project Working Space options, to preview color and simulate final output in different mediums like broadcast monitors or film stock.
As in Photoshop, I'd keep Color Management off to avoid inadvertent color shifts from embedding or converting to default profiles unless I've worked out a specific workflow. Files embedded with Adobe default profile sRGB might sneak in, so getting color management under control for all codecs and file types might take some serious thought. I had standardized on Adobe RGB (1998) and ruthlessly convert graphics from others if they use a profile. There's even a new utility filter to convert per layer, Color Profile Converter (pictured). I don't have a firm handle on the new color management yet (I'm fine as an NTSC island) but hopefully these Adobe white papers will help clear things up: Color Management Workflow in Adobe After Effects CS3 and Color workflows for Adobe Creative Suite 3 .
There's a basic video tutorial on color management in the Video Workshop. And you can also flip through the documentation for color and color managment at AE LiveDocs, for example High dynamic range color and Why you should use color management.
Update: this is a hairy issue...according to Studio Daily, "Post Logic Studios announced the launch of its Image Science Division...[to offer]...clients “the assurance of consistent color management across every stage of a production, regardless of acquisition format or output medium.”
Update 2: On the AE-List (18 Aug 2007) Chris Meyer responded to a question about a gamma shift between AE8 and AE7, "The short answer, in most "AE CS3 does not match AE7" cases where Color Management is _not_ enabled for the project (Project Working Space = None), is to enable the Legacy Gamma switch in the Project Prefs. The long answer is...a long answer. (I'm writing that chapter this week, as a matter of fact.) The text in the Project Prefs, Interpret Footage, and Output Module dialogs help, as does the Adobe white paper..."