In most cases its a clip-in hair strip. Ive never heard of anyone physically dying that into their hair, it would be very difficult and not as smooth and clear.
You can buy them on ebay pretty cheaply, and i imagine they can be found in some hair accessory beauty supply type stores.
Ebay links:
Custom striped coontail hair extension scene emo stripe - (eBay.ca item 110257670425 end time 08-Jun-08 20:32:12 EDT)
Purple blonde coontail scene emo hair extension striped - (eBay.ca item 110255041256 end time 31-May-08 15:27:50 EDT)
Gloomth- Hand Made Gothic, Lolita, Visual Kei, and Vampire Clothing for Girls and Guys. Lots of <$50 one of a kind pieces.
Got a style you want? Email me, I might be able to make you something like it!