In the latest GNOME 3, changing the theme isn't as easy as you're used to. Using Gnome Tweak Tool you can change the GTK theme but how about the titlebar (Mutter/Metacity theme)? Read on!
How to install GNOME3 GTK themes
To change the GTK theme in GNOME 3 (with or without GNOME Shell), you can use Gnome Tweak Tool which is available in the GNOME 3 Ubuntu PPA, official Ubuntu 11.10 and Fedora 15 repositories, etc. If you're using Ubuntu 11.04 and the GNOME 3 PPA or Ubuntu 11.10, run the following command to install it:
sudo apt-get install gnome-tweak-tool
To be able to use a GTK theme, extract it under /usr/share/themes (for all users) or ~/.themes (if this folder doesn't exist, create it).
Then, to change the GNOME3 GTK theme, open Gnome Tweak tool and select the theme you want to use on the "Interface tab":
Update: in newer GNOME Tweak Tool versions you can change the window titlebar theme (Metacity / Mutter) as well!
On the same tab in Gnome Tweak Tool you can also change the icon theme.
How to install Mutter (titlebar) GNOME Shell theme
Then, to change the GNOME Shell titlebar theme you need to edit some gconf settings so press ALT + F2 and enter: "gconf-editor" (if not installed, search for gconf-editor in your Linux distribution repositories) and navigate to desktop > shell > windows and change the "theme" value with the name of the theme you want to use:
The changes don't take effect immediately so you'll have to logout for the changes to take effect, or press ALT + F2 and enter: "r".
How to change The Metacity theme in GNOME 3 (classic)
To change the Metacity theme in the GNOME 3 classic desktop (with GNOME panels), press ALT + F2, enter "gconf-editor", navigate to apps > metacity > general and change the "theme" value to the name of the theme you want to use:
Update: for switching GNOME Shell themes easily (not GTK themes - GNOME Shell themes are different), see: ThemeSelector: GNOME Shell Extension To Change Themes (With Previews)
The instructions in this post were tested on Fedora 15 beta (with GNOME Shell), GNOME Shell built using jhbuild in Ubuntu 11.04 and the classic GNOME3 session in VirtualBox.