They show lines that you have changed.
See here for more details and a table showing what the different colours mean:
+-----------+------------------------------+-------------------------+
| Marker | Different from | Different from file |
| colour | file saved on disk? | that was opened? |
+-----------+------------------------------+-------------------------+
| Nothing | No | No |
| Yellow | Yes | Yes |
| Green | No | Yes |
| Orange | Yes | No |
+-----------+------------------------------+-------------------------+
Edit: Blue
indicates that the line was changed, saved and then reverted by undoing.
To see the entire list of colour schemes, go to Tools
>Opitons
>Environment
>Fonts and Colors
.(or Ctrl+Q.then type "Fonts and Colors")
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