This was posted by PSP Fanboy, but I thought should make its way to the Forums here, as well.
From Joystiq, a guide on installing themes: http://www.joystiq.com/2007/09/11/the-joystiq-guide-to-psp-themes/
From Uk Playstation, a series of themes for you to use: http://uk.playstation.com/home/news/articles/detail/item78695/
I installed the Wipeout theme, then immediately changed the wallpaper to something more my taste. The Wipeout icons are pretty cool.