Don't blame me if this makes your computer very slow!!
Download some really cool wallpapers. I use Webshots Desktop which is free and using which you have access to the vast gallery of wallpapers on their website. Trust me the wallpapers look very beautiful (especially the sceneries).
Skin your desktop. I use a software called WindowsBlinds which has a set of themes which makes your desktop look really beautiful. It has a set of button too which replace the usual quick shortcuts buttons (Back, Forward, Home). Even the boring Windows 98 looks good with it.
If you use Windows XP then hide the shortcuts on the desktop by right clicking on the desktop and then selecting Arrange Icons By and uncheck Show Desktop Items.
Download some cool screensavers as they add to your theme.
You can download Webshots Desktop from http://www.webshots.com/ and WindowsBlinds from http://www.stardock.com/products/windowblinds/and click Download on the left.
If you want your desktop to have the look of the yet-to-be-released Longhorn, then download the Longhorn Transformation Pack (Version 6 or 7 is the latest). The themes and wallpapers provided there are superb too.
Here are 2 of my favourite custom themes. The Led Zeppelin wallpaper was given to me by a friend. If you use Firefox then zoom in as the themes look better on the browser by doing that.