A tutorial index for beginners
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Please see the Wiki version of this article as it is updated more regularly. ***
There are a lot of programs out there to customize your PC, and almost as many tutorials to help you with it. But those tutorials are scattered all over and it can be difficult and overwhelming trying to figure this all out without having to dig through a bunch of articles to find help with the program you're trying to configure. That's why I'm writing this article, to bring together some of the popular tutorials in one place so it's easy to find what you need. I did not write most of these tutorials, just making a sort of index for all of them. I hope some overwhelmed newcomer to the PC customization arena finds this useful.
Getting Started
If you are entirely new to this whole "skinning" thing, you might be wondering, what the heck does that mean anyway? Cordelia has written an interesting, amusing, and very informative series for the customization newbies. Check out the following article for a little overview of what skinning your machine is all about.
Now that you hopefully have a basic understanding of what skinning is, let's move on to actually starting the process.
Wallpapers
Changing your wallpaper is probably the fastest, easiest, and quickest way to immediately change the bland look of your desktop. There are so many sites out there to download wallpapers (such as the WC Wallpaper Gallery, deviantART, InterfaceLift, and more). I'm sure everyone already knows how to change their wallpaper, but you can check out another article from Cordelia anyway.
Skinning Your PC: The Programs
Alright, you've changed your wallpaper, but now what? That XP Luna just doesn't go with it very well, how about changing the look of the Windows GUI? Not a problem, we can do that too. For this, you'll want to check out Windowblinds. There are other programs out there to do this, but I whole-heartedly recommend Windowblinds. It doesn't require you to hack your system and has so many features and options that other programs just don't have. There is a catch...the trial version only lasts 60 days, after that your theme will revert to that awful Luna (who wants that?).
You can buy it for $19.95, but instead I would recommend ObjectDesktop. It's a huge suite of customization programs you can use you customize your computer (will go over them shortly). For $49.95 you get programs that would cost likely over $150 if bought separately (rough guess). But wait, there's more! (Sound like an infomercial don't I?) With the ODNT (Object Desktop Network) subscription, you get free updates for a year for all the programs that come with it, programs that aren't offered standalone (like Enhanced File Dialog, very useful), and discounts on premium stuff offered on WinCustomize.
To get you started on downloading and installing your components, it is highly recommended that you use Stardock Central. "Stardock Central is an enhanced download manager that enables users to install and manage Stardock's software products." To get a better understanding of what SDC is and some of the basics, check out the following article by Island Dog, as well as an article to get you started with installing ObjectDesktop and how to archive by Corky_O. Check out the last article to see how to use SDC to chat on the Stardock IRC server.
Note: Once you've decided to get ObjectDesktop, it's a good idea to start with one component at a time to avoid customization overload. Once you've mastered one program, try moving onto a new one.
Important: Here I must add in another guide from Island Dog. Almost everyday someone posts on the forums that they downloaded a file and don't know what to do with it. This article will give very important advice on what to do with those files (along with the detailed articles that I will lay out). See also an article by Zoomba that will help you navigate the site.
Windowblinds
The Luna has got to go. It's totally clashing with that awesome new wall you put up. With Windowblinds you can change almost everything about the Windows interface: the taskbar, startmenu, window borders, buttons, text, and more. Just check out the WC Windowblinds Gallery to see how many different skins there are. For more detailed information on using Windowblinds to get rid of that default Luna look, check out more articles from Cordelia.
IconPackager
Now we've got the basic interface skinned, but what about the icons? Let's face it, the default icons aren't very pretty. But fear not, we can fix that too. For this is where IconPackager comes in. IconPackager can change your icons all at once using an IconPackage available from the IconPackager Gallery, or you can use the program to change individual icons (I believe the paid version is required to do that). Read this other article by Cordelia to see how to use it.
CursorXP
I remember downloading individual cursors and manually changing them one by one, what a nightmare. But no more! Stardock has a program for that too. CursorXP will let you apply cursor themes to change that default Windows cursor. This program isn't combined with ObjectDesktop, but it's just under $10. The free version will work plenty good, but with the paid version you can change the size of the cursor, add effects, and all sorts of other goodies. I bought it just so that I could resize the cursors, some were a bit large for my tastes. Once again, Cordelia has made guides for this as well.
Bootskin
When you start up your computer, you usually see the Windows loading screen, this is the bootskin. However, it can be changed. Bootskin is a free program you can use to easily change the image you see when you boot up your computer. Check out these articles to learn more.
Note about Bootskin: Depending on your BIOS, you might not be able to get Bootskin to work. You can try to use some other versions floating around, but if none of them work I'm afraid there isn't much that can be done.
LogonStudio
I'm not sure about you, but the default Logon screen is a bit...boring. This can be changed too. LogonStudio is another free program that you can use to change the XP logon screen. See this article to learn more.
IconX
If you still prefer to have icons on your desktop, IconX is a program you can use to customize them. "IconX enhances your Windows desktop icons. Give them shadows, make them any size, have them zoom up on mouse-over and much more. In short: Make your desktop icons look totally awesome!" Here's an article by Island Dog to help you with it.
AveDesk
Alright, this one isn't a Stardock product, but I'm a big fan all the same. AveDesk is a program that let's you add special shortcuts to your desktop (like large icons that IconX touches on) and can add useful info to display next to them (total space for a harddrive, number of files in a folder, etc). Add SysStats to it (which also works for ObjectDock) and you can add meters, weather desklets, RSS feeds, and more. Somewhat like DesktopX on a smaller scale. I've made a basic guide for working with AveDesk that you can check out. Word of caution: When I last used IconX (2 years ago or something), it didn't work well with AveDesk; had to choose between one or the other (AveDesk won).
RightClick
Another component of ObjectDesktop, RightClick "lets you design your own right-click desktop menu. Add program short-cuts, folders, disk space monitors, RSS readers, and virtually anything you can imagine to it." Here are a couple articles about it.
Enhanced File Dialog
Sometimes it can be a real pain when you want to save something, and you have to navigate through folders and subfolders to get to the right location. Don't you wish you could just add your own locations to that sidebar in the open/save dialog? Well you can! Enhanced File Dialog is a program only offered in the ObjectDesktop subscription that can allow you to customize those dialogs. Check out this article from Zoomba to see how it works.
DesktopX
Getting a little more advanced, DesktopX is "a desktop enhancement utility designed specifically for Microsoft Windows. It integrates seamlessly into the operating system giving Windows a host of new features." I'm not a big DX user myself, I just have a single weather widget gracing my desktop. For some basics on how to use DesktopX, check out these articles.
ObjectDock
I used to have several rows of icons on my desktop, man what an ugly mess that is. So then I discovered the QuickLaunch on the taskbar, got rid of a lot of the icons on my desktop, but then I had over 20 icons in the quicklaunch, d'oh. ObjectDock is a useful program that can clean up all that mess for you. It comes in two flavors: the free version (the one I use), and ObjectDock Plus. Here are several articles to get you going with ObjectDock.
Showing It Off
Ok, now that your PC is all skinned and looking awesome, you'd like to show it off to the world right? Sure thing! We can do that too. Cordelia has written an article on how to take a screenshot and uploading it to the WC Screenshots Gallery. And personally I would recommend Andrew's Rumshot. With Rumshot you can take the screenshot and create a cool preview with one click.
When uploading a screenshot: Please remember to credit the authors of the skins you are using. Simply "thx to all the artists!!" is very vague, there might be others who would like to use some of the skins you are using and proper credit helps out everyone.
And now it comes to the end of this tutorial index. I hope it helped someone. Don't forget to archive all your programs and skins! It will make it much easier to restore everything if you need to do a fresh install on your computer.
Also, feel free to stop by Stardock IRC (irc.stardock.com) for help or to just chat (remember that article at the beginning on how to do it). 
Happy skinning! 