There is a somewhat enlightening comparison to be made between Ramsey on pairs and the result that every real sequence x_n has a monotonic subsequence. You get this result as a corollary by colouring a pair of natural numbers a<b red if x_a <= x_b and blue otherwise.
Interestingly, the Ramsey theorem can be extended to three, four or any number of colours. I believe you can use this to show that any real sequence has either a convex or concave subsequence, but I'll omit the details :p
There's also a delicate balance between the infinite and finite going on. Clearly, with an infinite number of colours you could get a colouring without a monochromatic subset. More surprisingly perhaps, if you colour the infinite subsets of the natural numbers red or blue, then there exist colourings for which there is no monochromatic subset.