I can tell you that trying to sand mouldings at least well enough to be able to stain them a different color, its cheaper (time wise) to buy new mouldings.

Another option, is gel stain. its polyurethane that has color in it, some people say its more a paint, im not going to get into that argument, but it does work well, in changing color of wood, without the hassle of sanding.

Painting it is always an option. just depends how much work you want to do.

IMO,natural wood never gos out of style whereas the lastest paint trend always becomes out dated. If it's in good shape,touch it up. i agree with Greg about difficulty of refinishing moulding,and will add that it almost never looks as well as origional. Even painting requires extensive cleaning,sanding and priming to get best results.