ownskin.com lets you create your own (crappy) themes through a website.
Carbide.ui is pretty good to use but it'll eat your computer's RAM like crazy. If you don't have a relatively fast computer and at least 1gb of RAM, don't even bother.
Nokia Theme Studio 3 is like Carbide.ui but it's even MORE RAM intensive and even a bit more complicated to use also. I'd stay away from it.
There's also a basic theme creator that allows you to create themes right on your phone with images found on your phone called DIY Theme Editor.