Plone themes, also known as skins, are visual designs that can be applied to a site, independent of its content. There are two main ways to create a theme: through the web and via the filesystem.
One of the great advantages of Zope (and thus Plone) has historically been the customization power available through its web-based interface. Though there are some holes in this functionality with Plone 3 and 4, you can, for the most part, still point and click your way to a working theme. The advantages of this approach are:
Immediate feedback. Iterations are simple. As a result, you're encouraged to test often, bugs turn up early, and bugs caught early are bugs solved easily.
Explorability. Though the Zope Management Interface, where most theme work takes place, isn't the best-organized or friendliest environment in the world, it at least offers some semblance of navigable structure. You can find a piece of HTML or CSS you want to...