I like to change all of the icons globally. I just bought
CandyBar, and I love it. After reinstalling my os 5 times in the past week, I just got tired of manualy changeing everything one item at a time.
Interfacelift.com gives instructions on using terminal to change the system bezels, which are not easly changed. It also gives links to shareware that will help you change a png (the supposed modern replacement for gifs) into a usable Mac OSX icon.
Just about any picture can also become an icon. Select, Copy to clipboard, select icon, get info, select icon preview, paste.