The following diagram is a simplified version of how Drupal renders a webpage. Each rectangle on the second level represents a point of customization available in Drupal theming.
The meaning of the picture is as follows. If you are happy with the provided default theme, theming can stop there. If you find exactly what you want in an off-the-shelf community contributed theme, theming can stop here. If none of the previous two options suffice, you can either build your own theme or create a subtheme of an existing theme to satisfy your requirements.