Anyway...back to the question....I'm assuming you mean a "theme" as in an entire look and feel? Not just the desktop?
This functionality isn't built in to OS X, but there are products out there that will let you try, such as....
http://www.unsanity.com/haxies/shapeshifter/
(NOTE does not work with 10.5)
http://www.geekspiff.com/software/themepark/
Personally, I wouldn't do it. These are hacks, not inbuilt functionality. There ability to work is inconsistent (not all apps will take on their look) and they'll almost certainly make your OS unstable. You have been warned.
Phil