It's almost pointless to list anyone besides John Malkovich under the "cast" header for Colour Me Kubrick, since he basically is the film; other characters come and go, but mostly as window dressing. Once Malkovich has had his way with them and they've passed outside his magic sphere of influence, they rapidly evaporate—which is perhaps appropriate for a film about a delusional solipsist, though it ultimately makes for an unsatisfying narrative.
Based loosely on the life of Alan Conway, a gay London travel agent who spent the early '90s convincing strangers—including minor celebrities and New York Times theater critic Frank Rich—that he was reclusive film director Stanley Kubrick, Colour Me Kubrick watches Malkovich alternately swan and cowboy his way through impersonation after impersonation, putting on a different accent and affect for each new mark. Conway claimed he believed he was Kubrick, but that's hard to believe, given how Malkovich's calculated experimentation with his personalities, plus the complicated rigmaroles he goes through to convince his victims that he lives in a posh home instead of a seedy dive. He doesn't seem to have a "true Kubrick" in mind, though he's clearly enamored of the doors Kubrick can walk through, particularly the ones leading to gushy praise, free drinks, sex with hot young men, and money from flattered designers, musicians, actors, and bar owners who are all too willing to believe that their minor kindnesses will be paid back with film-stardom.
Initially, watching Malkovich play chameleon and get away with everything short of murder is subversive fun—it's hard to believe his thrift-shop '70s wardrobe didn't tip people off, but watching people's greed for fame, fortune, and celebrity contact get the better of them is fascinating, and all too appropriate in an "anything to get on television" age. Problem is, that's the whole film. The filmmakers never get at who Conway was or what his intentions were (even though he occasionally addresses viewers directly), they just sit back and watch him play the same game over and over, until the parade of victims gets gratingly repetitive. The film makes funny use of music (particularly Lionel Richie's "Hello") and excellent use of Malkovich, but it literally only has one idea in its head, and when that idea runs dry, it's as lost as Conway is without his plethora of Kubrick masks.