For new users to the Mac, you will soon hear about CandyBar from Panic.
Panic - CandyBar 3 - Change and Organize Your Mac OS X Icons and Dock
It is a commercial application (current cost $29) which to me seems a bit too steep for something you'd rarely use once you're happy with your new icons. However, many people love it so it is worth a look (there's a 15 days / 250 icons free trial).
You use it in conjunction from icons from the Icon Factory
Iconfactory : Freeware : Icon. Not all of these need CandyBar but CandyBar makes the process of changing multiple icons a simple process of selecting the set you want and clicking "Apply Icons".
So, do people have any favourite icons that they use?