CM has 3 themes. You can select them with the Theme Choser in your app drawer. For other themes I would suggest you take a look in the Themes forum here.
This is some GENERAL info on Rooting and the things it allows you to do with your phone - it draws on info from other ANDROID devices - the G1 and the Magic because there's not much specific stuff for the Hero yet - so this is for you Hero Pioneers to help you get started and save you reinventing the wheel
This bit here has info on putting/running your apps from SD Card (To save space on the device memory - this was crucial on the G1 as it has about 75mb free for apps, but not such a big issue on magic and hero as they have MUCH more space - here's info anyway that might give you ideas how to do it for the Hero http://android-dls.com/wiki/index.php?title=Haykuro_Apps_to_SD
Other things that root allows include changing ROMS and RECOVERY IMAGES, changing themes, adding and removing files from the main device memory using abd, fastboot or root explorers, enabling bluetooth file transfers and I'm sure there's other stuff too. Google searches or forum searches on XDA will usually bring up some great info. Use that Search function folks!!!
These threads and wiki's are from Android devices that paved the way for devices like Hero - use their knowledge well and keep Android Moving forward!!