I'm far from a theme ninja when it comes to Drupal. But I do my best to do what I can to give my sites a distinct look and feel. One way to offer up that distinct look and feel is to sprinkle links on your sites with custom icons.
On this site I've got two areas where I'm serving up icons that are not part of the original theme. My subscribe block (pictured at left) contains images that highlight the links for RSS, site bookmarking and email subscription.
I also use these images in other blocks when I'm linking to pages. You can see this in action in the watch and listen blocks on the front page. This technique is a departure from the normal look and feel of the theme. It also helps certain links to catch the eye of the user a bit more easily.