I figured out that you need to apply properties to the ASP.NET Calendar Control that the CMS uses.
SOME HELPFUL ARTICLES:
http://msdn.microsoft.com/en-us/library/w4s946c9.aspx
http://www.w3schools.com/aspnet/control_calendar.asp
EXAMPLE (from EventCalendar.ascx):
<div class="Calendar">
<cms:CMSCalendar ID="calItems" ShowGridLines="True" BorderColor="#7d4c1a" BorderStyle="solid" BorderWidth="1px" runat="server">
<DayHeaderStyle BackColor="#d3d3d3" ForeColor="#5e6f76" BorderColor="#7d4c1a" BorderStyle="solid" BorderWidth="1px" />
<DayStyle BackColor="#f2edda" BorderColor="#7d4c1a" VerticalAlign="Top" BorderStyle="solid" BorderWidth="1px" />
<TodayDayStyle BackColor="#d3d3d3" />
<WeekendDayStyle BackColor="#dad3b9" />
<OtherMonthDayStyle BackColor="#e3e3e3" ForeColor="#5e6f76" />
</cms:CMSCalendar>
</div>