Some themes require the Aurora engine. Search for a .deb file for it on gnome-look. To install themes, unpack the .tar.gz file and the folder with another folder called "gtk-2.0" and maybe also "metacity" in it, you copy to the Appearance>themes app.
Or you can just copy the entire tar.gz file over to Appearance (but this will install everything inside, as many themes comes with different color variations).
To customize/select new themes, just click on Customize in Appearance.
It's very easy, really
NOTE: As said above some themes require the Aurora engine. There are more engines available, like Clearlooks, Murrine and Ubuntulooks. All these are preinstalled in Ubuntu, but some themes now use the alpha/beta version of Murrine (murrine-svn). So you might have to install that... Always check for which engine the theme require in the notes or it might not look correct.
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