Repping the Lannisters
This question bugged me personally for a long time. Shouldn’t Cersei should be known as Cersei Baratheon, because she married Robert Baratheon? Catelyn Stark is Catelyn Stark, after all, and doesn’t go by Catelyn Tully. Actually, there is a reason for this, as discussed everywhere on the Internet. It has to do with Cersei’s marriage into the royal family. In Westeros, the royal name doesn’t extend to those who marry in, Cersei and Margaery included.
However, Cersei makes use of this and almost always has some hint of her Lannister roots showing. Red and gold make up a huge amount of her palette. She often wears a lion pendant. She even gave one to Myrcella — who actually has the surname Baratheon.
(Later on, she even adds armor in gold, naturally. She apparently wasn’t kidding when she told Robert that she should get to wear armor. Of course, she hasn’t gone full Brienne of Tarth, either.)
In short, Cersei’s wardrobe tells both the audience and all of Westeros something very important. Though she may be married to a Baratheon, she’s a Lannister first and foremost. That takes some serious guts to do.