Picture Controls in the new cameras replace the old Color Mode settings in the old. This has caused some users to have difficulty figuring out to mimic the settings they used to use as they switch from the older cameras to the new. To solve that problem, Nikon has created new optional Picture Controls that you can download to your camera to mimic the D2x Color Mode settings. Basically, we have twelve new Picture Control variants: D2XMODE1, D2XMODE2, and D2XMODE3, for the D300 and D3, and with download files for either Mac or PC. Rather than provide a bunch of links, here's a link that should pull up all the options.
Picture Controls come into play in only two ways: JPEG capture and NEF processing done in Capture NX. If you're converting your raw images in something like Photoshop or Lightroom, your embedded JPEG (preview image) won't look like your conversion if you set Picture Settings other than the default. You can use those program's fine tuning controls to simulate such changes, but you'll be doing a lot of experimenting and tuning, as you have to get white balance right first, and in my experience, neither program gets that perfect for Nikon cameras.
So what did Color Mode really do? As I noted in my books, Color Mode I tended to produce warmer skin tones (changed reds and yellows, basically); Color Mode II tended to be accurate; and Color Mode III tended to boost blues and greens (too much so to be useful as a general camera setting, IMHO). Taking color and other processing changes out of image data is more difficult than putting it in, so I've long recommended Color Mode II.