In order to see the themes you'll have to download one of the "home" apps (ie. ahome OR PandaHome OR GDE OR OpenHome one of the others on the market).
Some of those home apps you have to pay for. PandaHome you don't - I'm using it right now. Some of them only appear in the market depending on your Android version (1.5, 1.6, 2.0, 2.1). Some of the themes themselves only work with certain home apps too.
Someone else who's a bit more in the know about the different home apps should come along soon to tell you a bit more (I'm a home app newb still).