In many Star Wars novels and spin-off series, it is established that, as part of Jedi training, the padawan creates his own lightsaber. The type of crystals used in the hilt ultimately determine the color of the saber. Sith Lords generally use synthetic crystals that make the saber red in color. Jedi use either green or blue organic crystals. Mace Windu is a unique Jedi, in that he practices a very complex style of fighting called 'Vaapad' (as described in the Star Wars novel Shatterpoint). This style uses techniques which lean very close to the Dark Side of the Force. Purple is a combination of red (Dark Side) and blue (Light Side), so it is possible this was done to portray his "double personality" though this is not canon and is unlikely. This is how he came into possession of a purple saber outside of the movies: As a padawan, Mace was sent to the planet Hurikane on a mission. In exchange for saving one of the native species, he was given a "handful" of Hurrikaine crystals, which allowed him to make a lightsaber with a purple blade.
According to Jedi Training given in Star Wars: Knights of the Old Republic, a Jedi's lightsaber is to convey the class he is trained in. Blue is a Jedi Guardian/Knight (focused on strength and combat skills over the Force), yellow is a Jedi Sentinel (a balance of strength and the Force) and green is a Jedi Consular (a focus on Force training over combat).
Red lightsabers are used by the Sith, along with purple. However, using KOTOR 2, and the further classing of the basic Jedi, the following list shows a Jedi's lightsabers by color classification:
Jedi Guardian/Knight and Weapons Masters - blue, cyan and purple (Mace Windu is a Jedi Weapons Master).
Jedi Sentinel and Watchman - yellow, orange and bronze.
Jedi Consulars and Masters - green, silver and viridian.
All Sith have red.
In an interview, George Lucas said he had the intention of using the yellow lightsabers in the battle on Geonosis as the movie introduction to them; however, due to the desert landscaping of the planet, the yellow blades did not work well in long shots and therefore were scrapped.
Outside of canon, it has been stated many times that Samuel L. Jackson (the actor who played Mace Windu in the films) requested his own color of lightsaber. He asked Lucas whether purple was a possibility and Lucas said "you may get purple." (This exchange was captured by the on-set documentary crew and appears in part ten of the "Web Documentaries" section, entitled "Good to G.O.," on the Attack of the Clones DVD.) So the purple saber may have no more symbolism than that Samuel L. Jackson wanted his own color.