In a college dorm room, many elements are not in your control. However, you can take some steps to make your room environmentally friendly.

[edit] Steps

Use compact florescent bulbs. Replace any lightbulbs with these energy-efficient models. You'll get more light for less energy.
- Use a small desk lamp instead of an overhead light.
- Use windows for natural light instead of lamps whenever possible.
Use recycled paper if you have your own printer, and print double-sided.
Set your appliances to a sleep mode or off when you leave. Unplug appliances that you rarely use, as these can become "energy vampires".
Share appliances such as microwaves, fridges or hair driers.
Turn down the thermostat in the winter, and allow the temperature to rise a bit in the summer. Regulate your temperature with clothing, cool drinks, opening or insulating the window, etc.
Insulate your window with heavy curtains or padding in the winter to keep in heat.
Raise indoor plants. Plants are very green and make a really nice touch to your room!

[edit] Tips

Get your roommate to cooperate! This will get the job done easier, more things could become more greener, and it can be more fun!
Brainstorm with others. This way you can come up with (maybe) even more ideas and this way you can decide what you can and should do.
Convince others to go green. Wouldn't it be more fun if you could do this with others?