Have warning or aposematic colouration is a good way to advertise to predators that they are not very good to eat. However, the predator themselves might not be "trained" to recognise such a threat until it took one sample and suffer from the consequences.
For the Underwing moths, they have such a nice compensation by having dull forewings for camoflague. Underneath, it conceals its prominent hindwings which normally consist of some fancy flashy colours. Some say it will startle their predators, to warn that they are unpalatable or even for courtship purposes.
Noctuidae, Arctiinae, Arctiini
Location: D's Condo
Some of them, like the one above can even squirt defensive odours as a deterent as me and D managed to find out first handed. Fortunately, we weren't hit by those chemicals.