I bought an NTSC-PAL convertor from Maplins and play NTSC games in colour by connecting the device in between the AV lead (White/Yellow/Red) out of the PS2 and the TV. I take the convertor out for PAL games.

I've read on the forum that a full 21-pin SCART lead will also do the job, but my PS2 is too far from the TV to manage that.