There are very many different kinds of sea cucumbers, some are colorful and flamboyant, others have more mundane colors. This was my first sea cucumber when I get involved in the marine aquarium hobby. It was brown and lived on detritus that it sifted off the sand.
I am not sure what exact species it was. This sea cucumber did well in the aquarium, but then it has shriveled up and died after I added some other sea cucumbers who also died the same way. Probably they were passing some infection around.
I still like to keep a couple of sea cucumber in my reef tank just to sift through the sand and eat detritus.
Under ideal circumstances sea cucumbers have an enormous power of regeneration. Like many echinoderms they can regrow missing body parts, even internal organs. In fact they can literally spill their guts — perhaps as a defence mechanism.
Sea cucumbers also produce various toxins for defence. This can become a problem in a closed system such as an aquarium when the sea cucumber dies and the toxin is released and kills everything else in the tank.
Interestingly several species of sea cucumbers are edible (to humans) and in some countries people regularly eat them.
Further Readings:
Sea Cucumber on Wikipedia
Sea Cucumber Evisceration! Defense! Regeneration! Why? GROSS! on Echinoblog
Reef Tank
Aquarium Invertebrates: Sea Cucumbers – Part II
Food
Pacific Sea Cucumber Harvesters Association (PSCHA)