Did the Cotswold Legbar and the supermarket eggs have the same expiry date on them? Freshness is definitely a factor in taste. And deeply coloured yolks can be produced by feed with yellow colourant in it. The better brands such as Garvo use natural colourants like marigold petals but the cheap ones can include synthetics. I don't think colour affects flavour but it may do psychologically of course. I don't know if some breeds have a tendency to produce darker yolks, but my Cream Legbar doesn't lay bright orange yolks, any more than the other girls do.
Eggs from my quails taste really excellent and make superior cakes. A quail egg has a higher propertion of yolk to white than a chickens egg so its more nutritious as well, although you need 4-5 to equate to a large hens egg. Maybe the same is true of bantam eggs? Do they have relatively large yolks, Chris?
But there's no getting away from the fact that nothing tastes as good as an egg from a hen you know personally, which you have collected from your own nestbox that morning! Maybe just get a selection of hens, Icemaiden, and then they will all lay differently coloured eggs so you'll know which girl provided your breakfast, and can enjoy blind taste tests with your family!