If you're feeling more involved: Samurize lets you put many many toys on your desktop.
Then there's Yz'Shadow and Yz'Toolbar that add shadow to windows and replace toolbar buttons. Yz'Dock was closed down, but there're various alternative Dock bars out there.
There are many different ways to customize the looks of Windows XP. For a start, try right clicking anywhere on your desktop, choosing 'Properties', and selecting the 'Appearance' tab. There are a great deal of options to fiddle with there.
You can fiddle around with different icon sets (Which you will be able to find at most of the sites listed below) using an icon manager, like Iconphile.
To do anything more advanced, you will usually need the help of a third party skinning tool, such as Style XP. You can then go to any of the number of customization sites online, and pick a visual style that you think looks good.
You may have also seen other things on people's desktop, such as TV listings, or stats on how their computer is running. You'll need another app for this sort of thing - Samurize is a very commonly used, and highly recommended one. Although a little daunting at first, it's pretty easy to get to grips with, to create some impressive results.
If you want to get really advanced, you can install an alternate shell, such as Litestep. You can learn all about Litestep, and alternate shells in general, here. If you decide you want to take the plunge, there is an installer which makes things a lot easier located here.
*I swear, Jonty hasn't hijacked my mind!
Oh, and click here for my current desktop. I'm using a very simple Litestep theme.
To be honest, there's little that can go seriously wrong by using the utilities mentioned here. Samurize, StarDock etc. are all just regular applications which can be uninstalled. As for StyleXP or the UXTheme patcher, both backup the original Windows file they modify so that when you uninstall (or in the catch of the UXTheme patcher, choose to 'unpatch') you're left with exactly what you had before.