Transit Depth Color Versus Transmission Spectroscopy One of the tools being developed for the study of exoplanets is called transmission spectroscopy - basically looking at how passing through the exoplanet's atmosphere changes the spectrum of the star. The problem, though, is that spectroscopy is hard, and requires a big telescope, probably space-based. This makes the process slow. It seems that it would be very useful if we would triage the data using broad-band photometry to more quickly limit the presence of compounds like water, $\mathrm{CO}_2$, and $\mathrm{O}_3$. Looking at a plot of Earth's atmospheric transmission, with a breakdown by chemical compound, it seems like looking at the color of the transit depths in and between the windows in the wavelength range from 1 to 20 microns, might provide a plausible alternative to quickly get information on the atmospheres of planets and brown dwarf stars.

For the exoplanets, specifically, the wavelengths blocked by an atmosphere make the planet, effectively, bigger at some wavelengths than at others, depending on the opacity at that wavelength, the thickness (density) of the atmosphere, and vertical extent of it.

The question is: is this practical? Specifically, with a 1 to 2 meter class space telescope that simultaneously images in 2 to 8 filters?
But this is already possible. Spitzer has performed "low-resolution" transit spectrophotometry of several exoplanets in its near infrared bands - see for example Tinetti et al. (2007);  Knutson et al. (2011); Desert et al. (2011).

I dare say you could get better data on more planets with a dedicated telescope with a larger mirror and the ability to image in several bands at once. All that is required is money.