this is the second poll in a row i cannot really vote on, since none of the available answers are my answer. since this is getting to me (i like to participate, and voting is part of that) i decided to just give my answer this way instead
taking the options in turn:
* icons - i mainly see icons via powerdesk pro 5 under winXP. due to acts of Microsoft i get the standard yellow folder icons, regardless of the icon pack i have installed. so, this significantly reduces the visual impact of icon sets. also, after a while i stop noticing the icons *shrug*
so, i am quite unlikely to purchase premium icons.
* themes - i presume this means a set of matching skins across several programs.
well, on this machine (work) i have:
+ coolplayer skinned with the outstanding sputnik skin
+ IE and notepad skinned with via WB with XP Jeans UIS1
+ textpad skinned via WB with devoir
+ tera term pro skinned via WB with XPForest
these are the main programs i use on this machine, and if you know (or look up) these skins you will see this isn't exactly an integrated look
* a pack of cool skins / visual styles - this is unlikely simply because so very few WB skins really speak to me. i have certain practical requirements for my main skin on my work machine, which further limit the skins i use long term. so, i would do this, but the odds are very long, since i am unlikely to be that impressed by any premium skins
this is nothing against the premium skins. the same can (and is) said about the WB skins here. of the over 2000, there are only a handful i use at all regularly
* media player skins - i only ever use media player for viewing video clips. my experience is most skins aren't really that good for that.
* wallpaper - the wallpaper on this machine is buried under approx 14 open windows (average to below average number!), and not even 1 pixel of it is showing.
* no interest - that isn't really the answer either. i am quite happy to support the outstanding skinners, but if i am going to pay for it, it has to be something i both like and will use.
so, what is my answer? CursorXP!

since when i use my mouse (i am keyboard orientated by nature) i am very aware of where my cursor is and what it is doing, this is the area where skins have the best chance of really impressing me.
also, percentage wise, there are far more CursorXP skins i really like than in any other category at this site. that means there is at least a fighting chance of me being really impressed with premium cursors