If there's no conjunction at the end of the list (and / or for example), then a comma is required. Thus, the correct version is:
red, green, blue, etc.
(Note that etc. should include the full stop, as it is an abbreviation.)
Regarding commas before and (or any conjunction) at the end of the list, that is a matter of huge debate. The subject is well-discussed on the Wikipedia page for the serial comma. Although it's probably fair to say that usage of the serial comma is non-standard in general, many notable institutions and publications such as Oxford and Harvard Universities strongly recommend its usage. There are certainly some good arguments for its usage, mainly in terms of consistency and unambiguity. If you want to open up this can of worms, I suggest we start another question (and make it community wiki for its subjectivity).