Much like the game's art style, the way the menu looks is highly subjective. One of the most commonly made mistakes, however, is not having the menu items and text blend in properly with the scene they are placed on top of, which can have a jarring effect. It is best to use a semi-transparent overlay when the menu is active (if normally hidden), or some kind of border that gradually fades.
For a fixed menu's items, the border approach generally works well. Beyond this, the color scheme of the menu, including its text, should fit with the color scheme of the game. Consistency is of utmost importance when it comes to avoiding the all-too-common occurrence of a visual mismatch, which is the hallmark of games produced without proper care for graphics.