A Q&A column in the New York Times addresses the issue of why lobsters change color when cooked. The answer is surprisingly complex, and involves the behavior of the lobster's pigments under heat at a molecular level.

To sum up, the red color of a lobster is caused by astaxanthin. In live lobsters, the astaxanthin is trapped inside the protein molecules of the shell. However, when heat is applied, the protein molecules relax, which allows the red astaxanthin to show through.

Speaking of lobster science, it is a myth that lobsters scream when boiled alive. They simply do not have the physical equipment to make a noise. The whistling noise is simply the release of heated gases, either through cracks in the shell, or through the lobster's mouth parts.

This does not, however, mean that a lobster feels no pain as it is boiled alive. The invertebrate lobster has a very primitive nervous system, which certainly does not sense pain as well as the nervous systems of us mammals. Several studies have "concluded" that lobsters therefore feel NO pain, which is probably not correct. David Foster Wallace discussed this issue in-depth in his famous article for Gourmet magazine, "Consider the Lobster," which you can read in an archived PDF version here.

One reason behind the practice of cooking live lobsters is that lobster flesh contains a lot of bacteria, which decomposes quite quickly. Although (As Wallace points out in his essay) stabbing a lobster in the head doesn't incapacitate it, a clever couple from England have built a device called the CrustaStun, which electrocutes lobsters before cooking.