Yellow Chocobos: Can go anywhere you can normaly go on foot, but there faster.

Blue Chocobos: Can go alone rivers and shallow water, but not up waterfalls.

Green Chocobos: Can go over most cliffs and drops and can run over mountains (even pointed ones).

Black Chocobos: Can walk along rivers and shallow water (plus go up the waterfalls). They can also go over any mountain or cliff.

Gold Chocobo: The only place these birds can't go is into the northern crater. It can go everywhere else.