Change Visual Studio Code's title bar color

1. Menu File → Preferences → Settings

2. Look for "window.titleBarStyle": "native", copy it to your user settings, and change it to "window.titleBarStyle": "custom". It will adapt your theme now.

3. If the current color is not what you want or you want to tweak it, try doing this.

4. In your user settings, add the following.

   "workbench.colorCustomizations": {
       "[Name of the Current Theme you are using]": {
           "titleBar.activeBackground": "#191919cc",
           "titleBar.activeForeground":"#ffffff",
       },
   },
   "window.titleBarStyle": "custom"
   

Open menu File → Preferences → Settings and add the following setting:

"workbench.colorCustomizations": {
  "titleBar.activeBackground": "#553955" // Change this color!
},
"window.titleBarStyle": "custom"

From the following source:

Colorful Visual Studio Code titlebars for better productivity

There is now a handy Visual Studio Code marketplace plugin called Window Colors which automatically colors the activitybar and titlebar of every window uniquely.

Just go to extensions and type: window colors

For more information, see the Visual Studio Code marketplace webpage.

Edit (Sept 2020): Just noticed that on Ubuntu 20.04 I had to set the preferences->titlebar setting from native to custom in the VSCode Preferences. Otherwise the titlebar does not change colors. Also see this issue on github here- the input from @musicfuel solved it for me.