Of course you should start with:
http://lsdocs.shellfront.org
http://o-t-s.sourceforge.net

And now, the basics to start your own theme:
Then, read the docs and check for desktop2, too; to see if it better suit your needs than jdesk.

After that, you'll want to add stuff like time, taskbar, icons and so on.
xLabel will bring you time, system info, powerfull text displaying, icons, colors, ghosted images (you can click through)
xTaskbar is very interesting as a taskbar module and RabidVWM will add virtual desktops and an uncredible ^@variable^ support :)

But you could enjoy a Rainmeter centered theme. Check out the last 0.10, it's too much!

Quickly, you'll surely need to think about scripting (mzscript-0.9-beta_12)

And then, let's have some fun...