With the bootloader unlock solution HTC offer, you can't flash certain partitions in recovery.
It doesn't matter on a lot of Sense ROMs as they use the same, stock boot.img (more commonly called a kernel) so you can sometimes go from ROM to ROM without flashing it. You can't go from a Sense based ROM to a non Sense based ROM without flashing the non Sense kernel either.
You could try Android Revolution? That's a very popular one, close to stock with a few tweaks for battery and performance.