Q:

OpenGL - Map points on a surface

I am looking for a technique in OpenGL that I can use in order to map color points on a surface. 
Each point is defining a display color and three coordinates (X, Y, Z). 
The surface on which to map those data is built from all the points' coordinates in the main usage (complex shape) but can be built normally from standard shape such as a cone or a sphere. 
Since there are voids between the points (for example one millimeter step between two points along the X axis), it would be also needed to interpolate the points data on the surface. 
I am thinking about building bitmaps from the points and then applying those bitmaps on my surfaces but I am wondering if OpenGL does have a feature that allow to do that in a "smart way". 

A:

It sounds to me like what you are asking for is basic OpenGl behaviour. 
If you draw a triangle:
glBegin(GL_TRIANGLES);     
    glColor3f(1.0f,0.0f,0.0f);     // Red
    glVertex3f( 0.0f, 1.0f, 0.0f); // Top vertex
    glColor3f(0.0f,1.0f,0.0f);     // Green
    glVertex3f(-1.0f,-1.0f, 0.0f); // Bottom left vertex
    glColor3f(0.0f,0.0f,1.0f);     // Blue
    glVertex3f( 1.0f,-1.0f, 0.0f); // Bottom right vertex
glEnd();  

The result is a smoothly ( if garishly) coloured solid triangle. 
So your problem is to construct a series of polygons (possibly just triangles) which cover your surface and have the point set as vertices. 
For a great intro to OpenGl, see NeHe's tutorials, including the above example.