Some say the correct punctuation is a plain old comma. From OWL:
'Use a comma to introduce a quotation after a standard dialogue tag, a brief introductory phrase, or a dependent clause.
The detective said, "I am sure who performed the murder."
As D.H. Nachas explains, "The gestures used for greeting others differ greatly from one culture to another."
Others say no punctuation at all, as the quotation marks do everything that is needed.
'You should not insert additional punctuation marks into the sentence merely to warn the reader that a quotation is coming up: that's what the quotation marks are for. Hence the first two of the following are bad style, and the third one is wrong:
*President Nixon declared, "I am not a crook."
*President Nixon declared: "I am not a crook."
*President Nixon declared:- "I am not a crook."
Some newspapers use a colon - the Guardian, for example - but that is set by the individual style-guide for that publication and is not a rule as such.