Massaman curry is for wimps. It is not spicy at all, and goes with vegetables, especially potatoes. I have heard it called Pattaya curry.
Green curry is mild, and goes with beef and pork
Yellow curry is a little stronger, and goes with chicken and shrimp
Red curry is strongest, and goes with anything (because the curry will drown out the taste of anything)
Penang curry is actually from northern Malaysia, and is a lot like Indian curry. It is almost as spicy as red, and is mostly used as a dip for roti. It Goes well with beef and lamb.
The curries named for colors should be those colors. Massaman is grey, Penang is red-orange.
Now for the confusing part. You can order any of these to be mild (1-star) or spicy (5-star) or any of the stars in between. They just use more curry paste per serving. And thereby hangs a tale:
I was In Love™ with a woman who lived in Boston, and I went to spend a week with her there. One of the conditions was I teach her to make Thai food. For starters I decided on Green Curry Beef. We went to the market and were able to find all the ingredients, including my favorite Thai green curry paste. We went back to her place, and I started showing her how to mix the paste into the warmed coconut milk. She was insulted that I was only using about a teaspoon of the stuff, telling me she loved spicy food, and she could handle anything. She insisted on two tablespoons of the paste. We were making three servings. After cooking it all up and serving with a plate of white rice, she took one bite, said "that isn't so ba....." and put her head under the kitchen faucet. I tried to cut a serving with more coconut milk, but the curry had embedded itself in the beef, and the meal was a total loss.
So even though the curry may be relatively mild, it depends on how much is in the dish.