Winterboard is one of the many reasons to jailbreak iPhone or iPod Touch. It gives you the liberty to install themes. Winterboard not only changes the look of your iPhone or iPod Touch but also used to change the sounds and personalize the idevice.
Update: Saurik has pushed another Winterboard which makes Winterboard 100% iOS 4 compatible
We have a detailed guide on how to install and use Winterboard to customize your iPhone and iPod Touch: