The pigments come from natural minerals such as ochre, umber,cobalt, cadmium, iron and copper salts and so forth. The quality and price you pay for the paint depends on how much pigment is in the product compared with whatever carrier it is mixed with. You can mix the pigment with any medium - oil in the case of oil paints, chalk to make water-soluble paint, egg to make egg tempera. Some odd stuff has been used for pigment in the past - ground-up egyptian mummies for example.