Microsoft has never supported much in the way of skins/themes, leaving it up to third-parties. Third-party visual styles are prevalent, provided you patch the three system files, but that's not an option for the Sidebar due to there being no centralized file or method of application. It's possible for you to close Sidebar and then replace each individual file yourself, but it's a bit tedious and few people have put forth effort to creating skins for it. That leaves Styler as the best option, and the only decent one I know of.
Aside from that, you're left with replacing Sidebar with third-party freebies such as Desktop Sidebar and Vista Sidebar, which offer more advanced functionality, though they are incompatible with Sidebar's gadgets. There's also Stardock's DesktopX option if you want to take a more extreme approach to redesigning your desktop, but it's a bit much for just replacing the Sidebar.
John