AFAIK, there's no way you can do it on the fly. You can either start
X using:
where ?? can be 8, 16, 24 or 32 depending on the depth you want, or
if you're using xdm/kdm, you'd have to edit /etc/X11/xdm/Xservers (may
vary) by putting:
:0 local /usr/X11R6/bin/X -bpp 16 |
for color depth 16.
Alternatively, you can edit the XF86Config file and add a line like
to Section "Screen". The next time you start X, it will run with the
newly-configured color depth.