Karolis,
 >Which European colonies are in the EU?
 
The following overseas territories are technically part the EU. However, in 
the case of the Aaland Islands, Guernsey, Jersey and the Canary Islands, 
only certain EU legislation applies.
Finland - Aaland Islands
France - Guadeloupe, French Guiana, Martinique, Reunion
Portugal - Azores, Madeira (although neither are separate overseas territories)
Spain -  Ceuta, Melilla, Canary Islands (although none of these are 
separate overseas territories)
United Kingdom -  Gibraltar (although not recognised by Spain), Guernsey, 
Jersey
All other overseas territories of EU member states are *not* part of the EU.
See 
http://www.eurunion.org/legislat/extrel/PrincipalitiesEtc/Islands.htm 
for more information.
 >2) Azores, Madeira, Canaries: are they colonies or contingous parts
>of their respective countries (like Hawaii and Alaska)?
 
They're technically contiguous parts of their respective countries.
 >3) what is the legal difference between British and British Overseas
>citizens and what kind of passports do the latter have?
 
Full British citizenship is available to those born in, or having 
patriality from the UK, Isle of Man, Guernsey, Jersey, Gibraltar and the 
Falkland Islands (to whom full citizenship was restored after the war in 
1982). I think Guernsey and Jersey actually issue their own passports, but 
they're almost identical to British passports and confer the same 
privileges. Full British citizenship entitles the holders to work and/or 
reside in the UK.
British Overseas Territories (known as British Dependent Territories until 
1997) citizenship is for all the remaining British overseas territories, 
with the exception of the Sovereign Base Areas in Cyprus, and until 
recently, the British Indian Ocean Territory. This doesn't automatically 
entitle the holder to live or work in the UK (or to pass through the EU 
channels at ports), although in reality many holders had residence 
entitlement through patriality.
BOTC is likely to disappear in the future as the right to full British 
citizenship has recently been extended to all the overseas territories, 
with the exception of the Cyprus SBAs. However, current BOTCs don't have to 
take up the offer (although it doesn't confer any disadvantages) so it'll 
probably linger on for a while longer. Incidentally, whilst full British 
citizenship will give residents of the overseas territories the right to 
live and work in the UK, there are no reciprocal rights for UK residents in 
the overseas territories!
There are other types of citizenship such British Nationals (Overseas) 
which was for Hong Kong, British Overseas Citizens for minority groups in 
former colonies (e.g. Indians in Uganda), British Subjects for people born 
in colonies before 1948 who did not adopt full British citizenship, and 
British Protected Persons for people born in former protectorates
(e.g. Aden). These will eventually all disappear when their holders become 
deceased.
It does seem like one big confusing mess, but it stems from the fact that 
there was no concept of citizenship within the British Empire, and 
different provisions had to be made for the different territories during 
the period of decolonisation from 1948 until 1997.
Hope this explains things.
Regards,
Kevin Meynell