I've always disliked Windows XP's default "Luna" theme, which I personally thought was horribly, hideously ugly.
I always turned it off in favor of the "Classic" Windows 2000 theme.
With Windows Vista I'm actually a big fan of the default "Aero" theme:
But the only downside to Aero is that it takes up an incredible amount of space with its enormous window borders. I think this is to better show off the transparency effects. Fortunately, it is possible to tweak the window borders to slim them down a bit, so the trim around the windows isn't so comically large.
Right-click your desktop, choose Personalize, then Window Color and Appearance, then click the Advanced button. From here, edit the "Border Padding" and "Active Title Bar" settings to put Aero on a diet.
Works for me!