Not really themes, as such. They do look different from each other, but there are other differences as well. For example, KDE and Gnome come with different built-in software packages (like KDE's native text editor is KEdit, while Gnome's text editor is gEdit).
Certain Window Managers like WindowMaker or Fluxbox are designed with low resource usage as a key criterion, so you'll notice that they consume significantly less RAM as compared to KDE or Gnome.
The underlying code for one DE/WM is also completely different from the code for others, so you'll find them using different methods to do things (for example, KDE primarily uses the QT libraries, while Gnome uses GTK2)
You can have multiple desktop environments and window managers installed at the same time. What you end up choosing as your primary one for daily use depends on your personal preference, I suppose.