A theme is a visual definition of the look & feel for common controls in an Operating System.
Themes are usually end-user selectable, changing the theme at the OS level, impacts the look & feel of running applications that are ‘theme aware’. As an example, on Windows Vista and Windows 7, a popular/desired theme is the Aero theme.
Windows Phone supports theming. Here is a screenshot of the themes in action in Windows Phone.
More theming details at source : Jaime Rodriguez : Theming in Windows Phone