This may be a silly question, but what exactly are you looking for with themes? Most people I know basically theme the phone themselves. By that I mean you can choose your own wallpaper and widgets on the stock launcher, and if you switch to another launcher like ADW or LauncherPro you can also change all of your icons - along with many other things.
My recommendation would be to download and install LauncherPro and then just play around with all of the settings. If you are not coming from another Android phone, it may take a little bit to get used to it, but I believe you will soon find that you do not need any preloaded themes.
Finally, if you really want to "theme" your phone (by that I mean customize it more than described above) then you will need to root your phone. If you have never heard of that then head over to the Root Only section and read the stickied post at the top about Rooting for Dummies. I would definitely begin with the other things I mentioned earlier before you look into rooting.
Let us know if that did not answer your question and we will be glad to help further.