Strictly speaking this is not an application rather a patch, but useful nonetheless. UX Theme Multi-Patcher is patch that is applied to the uxtheme.dll file in your Windows XP system which controls the themes located in the appearance tab of Display Properties, allowing the user to use any 3rd party MSS style. In normal English this means you can alter the appearance of the navigation bars and windows, giving your windows a whole new look/style/colour/feel etc. There are thousands of user made themes available (link shown below) in a multitude of styles, Including other popular operating systems (Vista, Apple OSX, Linux etc)

You can get applications that do this but by directly patching the windows system file it means you will not have to run any external applications (such as Windows Blinds) to implement such changes. Please be aware you alter your system files at your own risk. Microsoft has in the past provided a couple of themes of it's own that do not require this patch such as the Zune theme, however these are not far different from the default Windows XP theme. After the patch is applied you simply click the msstyles file in your downloaded theme and you are good to go! Click the link for screen shots, additional info and downloads.

Other free utilities that are often used in conjunction with windows themes are Styler (which alters windows navigation buttons and bars) and Icon Tweaker (which changes your default icons). Again packs of icons and toolbars are widely available. Hit the Links for more info and downloads

UX Theme Multi-Patcher - Windows XP Sp2
UX Theme Multi-Patcher - Windows XP Sp3
Deviant Art - Windows Visual Styles