Why is PbI2 precipitate yellow?

Colors are a fairly complicated subject. Essentially, a molecule or compound will be a particular color due to numerous factors, but it comes down to what colors are absorbed and what colors are reflected from the material.

Unlike mixing paint, you can’t just react yellow and blue molecules and expect to get green out (you might!), for instance Colbalt Chloride is blue: http://en.wikipedia.org/wiki/Cobalt%28II%29_chloride

Perfect answer, thanks grumpyfish!

PbI2 precipitates as crystalline platelets. Crystalline PbI2 is a semiconductor with bangap of 2.3 eV. The color of a semiconductor is related with its band structure (the energy distribution of electrons in the material). A bandgap of 2.3 eV means that photons with energy higher than 2.3 eV (or wavelength shorter than about 540 nm) are absorbed while photons with energy lower than 2.3 eV (or wavelength longer than 540 nm) are transmitted. So if you illuminate PbI2 with white light, the only photons which are transmitted (those you see) are a few green, the yellow and red ones. As a result the material looks yellow.