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The species Metasepia Pfefferi is commonly called the flamboyant cuttlefish. Not only is it colorful, it "walks" along the bottom of the sea between Malaysia and Australia. According to a rather dry scientific description at Wikipedia, the color changes are a complex form of camouflage, used either to blend in with the cuttlefish's background or to warn away predators. The cuttlefish's flesh is poisonous, making it only one of three known toxic cephalopods. -via the Presurfer
Sea slugs are brightly colored (often with brilliant contrasts of blue and yellow) because they too are poisonous.