Here's a run down of some of the free software available to do neat stuff on Windows XP:
  
LogonStudio.  http://www.logonstudio.com
This program can replace the logon screen on Windows XP for you. You can import logonui.exe's as well as use its native .logonxp format. The advantage of .logonxp is that you're not literally replacing your logonui.exe (that's what those logonui.exe's are -- you're literlaly replacing your logon program). In the Logons section here you can download many logons.

CursorXP. http://www.cursorxp.com
This program can replace your mouse cursors on screen with ones that are animated and alpha blended. It's very popular and the CursorXP section on the left has hundreds of cursor sets to choose from.

 
ObjectDock. http://www.objectdock.com
This program adds a customizeable program launcher and task manager to your screen where moving the mouse over them will let them grow. You can replace your programs and tasks with .PNG files to represent them.

 
SysMetrix http://www.xymantix.com/sysmetrix/index.html
This program is a skinnable resource monitoring program for determining how much drive space, CPU, memory, net connections, etc. are available. The Sysmmetrix section here has over 500 different skins available.