Color depth refers to the number of unique colors that a sensor can faithfully capture. Cameras with better color depth will demonstrate smoother transitions from one color to the next, and avoid "banding" in areas with subtle shading. (Blue skies are an example of where you might see color banding.)
More color depth is generally better, but you'll struggle to notice a difference between two cameras with less than 1 bit of difference. Color depth above 22 bits is considered excellent.
Want to learn more? Head over to our full glossary entry on color depth
Color depth test data courtesy of DxO Mark.A68 test data on DxO Mark 50D test data on DxO Mark
Cameras with more dynamic range allow you to take photos with dramatic differences in highlight and shadow areas while retaining detail in both.
Think of a brilliant sunset on a rocky beach: Bright sunset in the background, with dark rocks in the foreground. High dynamic range means more of the extremes will be faithfully reproduced.
Dynamic range test data courtesy of DxO Mark.A68 test data on DxO Mark 50D test data on DxO Mark