It's called self-striping and you can find it in yarn stores or craft stores like Michaels, Joann, Hobby Lobby, etc. It comes in many different fibers and color combinations. If you want specific colors that might be hard to find though and it's difficult to control which colors are next to each other. Sometimes the colors change in the middle of the row, sometimes on the end. The width of your project affects that, too. If you just choose a color family you like and knit it as it comes it's beautiful and easy.
Here's a few ideas.