any of the launcher apps (launcher pro, adw, go launcher ex, etc) should have the ability to change home screen icons. but if you want to change the icon within the app drawer, that's different. sometimes simply applying a theme through launcher pro/adw/go will change the more popular app icons, but the less popular icons stay the same. changing these can be more complicated. it consists of unpacking the apk file on your computer and changing the icon(s) in there.
so in short, yes you can change your icons. some ways are easier than others.