A: Thanks for your question. And before I answer it, a slight clarification: for Lutherans and Episcopalians we usually use the color blue for Advent. Though purple is a secondary option.
Purple used to be used for Advent because, like Lent, it was a “penitential season.” This would be, like Lent, a time to repent of our sin and focus ourselves more closely on our need for God’s gracious forgiveness. Blue was selected as the new color as it was seen as sign of “hope” (not sure why blue is that way, but that was the reasoning).
Liturgical colors themselves are somewhat new. It used to be that churches had several sets of paraments (altar and pulpit cloths) and vestments (ceremonial clothing worn by the priest/pastor). Instead of using particular colors, churches would use their best paraments and vestments for the most important days, the most simple versions for Lent, etc.
Nowadays we use white for celebrations of the life of Jesus (Christmas, Easter, Epiphany, Ascension) and the lives of the saints. Red is used for for Pentecost and celebrations of the Church and martyrs. Blue is used for Advent, purple for Lent, and green for “ordinary time.”
In the end, these colors are meant to make our worship more beautiful, and allow us to give honor to God in our house of worship.