Which is the more appropriate way to punctuate the sentence?
The form with the comma is more normal.
But the form with the colon does occur in journalistic writing. The sense it conveys to me is that this sentence is introducing the main topic of the piece: the band Bar. It feels a bit like an MC introducing the main act of the evening "And now we welcome our guests (pause) Bar!"
As reported in Comma sense—a fun-damental guide to punctuation:
Use a colon to introduce just about anything: a quotation, a list, a complete statement, or the very words you are reading right now—anything that explains or expands upon the part of the sentence it immediately follows:
In other words, what comes after a colon delivers on the promise set up by what comes before it.
This is an example of mine:
His username is incomprehensible to me, but it seems Spanish: kiamlaluno.
A non-restrictive appositive must be set apart by commas. According to: Wikipedia
Either a comma or a colon would be acceptable, though the comma would be more common. The proper punctuation depends on the general feeling you are trying to go for. As the Purdue OWL (Online Writing Lab) explains:
A dash or colon has more emphatic force than a comma.
- The employees were surprised by the decision, which was not to change company policy.
- The employees were surprised by the decision—no change in company policy.
- The employees were surprised by the decision: no change in company policy.
So to write
His latest album is Foo featuring his band: Bar
means that you are really adding some drama and emphasis to your writing. You can also use a colon in cases where you have two independent clauses, and would like to emphasize the second clause.