I had wanted to use a black theme for my PC for a long time now. A Zune styled black theme is available for download here. It does not has any Zune branding, though. MystiqueWavefront provides a link to a theme with a black color scheme available here.
If you like to customize the appearance of your Windows XP then you might like to try some wonderful themes provided by Microsoft. Click here to get the themes available at Microsoft site. The returned results include theme generators, web templates for Frontpage etc. If you find it too fussy then click here for more filtered results. But this might skip some useful stuff.