OK, so I think the answer is a combination of different choices. I picked this question because it shows how chemicals produced in one organism (such as algae) are taken by another (like a fish) and used for a totally different purpose (to color the fish, for example, rather than photoprotect the algae).
There are a variety of carotenoids produced in photosynthetic organisms (such as algae, diatoms, and cyanobacteria) that serve to protect them from damage from too much light. These papers have more:
http://www.sciencedirect.com/science/article/pii/000527289090088L
http://www.sciencedirect.com/science/article/pii/S1011134401001506
http://link.springer.com/article/10.1007/BF00350335
Organisms such as fish that eat foods with these pigments in them them take and use the pigments for their own purposes. They also chemically modify them to get a particular structure of variety of structures that give them a particular color.
This paper has more details on fish::
The Carotenoids in Tropical Marine Yellow Fish
http://ir.kagoshima-u.ac.jp/bitstream/10232/13108/1/AN00040498_v27-1_p29-33.pdf