Earlier today, Al Nyveldt aired a webcast on how to make BlogEngine.NET themes. It really shows how you can leverage all the power of ASP.NET in your themes. He uses code-behind files to dynamically change the output of the posts using nothing but C#. He walks you through building an entirely new theme and he also made it available for download.
His approach with building a theme from scratch is impressive, but I must admit that I’m too lazy for that. I would probably copy an existing theme and just modify it. It would probably not be as good as his though.