Here's an example of how you can put some colour into your Theorems using ntheorem combined with PSTricks.

\documentclass{article}
\usepackage{pstricks}
\usepackage{pst-grad}
\usepackage{framed}
\usepackage[framed]{ntheorem}
\usepackage{lipsum}
% framed theorem, red background
\theoremstyle{plain}
\theoremsymbol{}
\theoremseparator{}
\def\theoremframecommand{%
\psshadowbox[fillstyle=solid,fillcolor=red,linecolor=black]}
\newshadedtheorem{mytheorem}{Special Theorem}
% framed theorem, gradient shading
\theoremstyle{plain}
\theoremsymbol{}
\theoremseparator{}
\def\theoremframecommand{%
\psshadowbox[fillstyle=gradient,gradbegin=red,gradend=yellow,linecolor=black]}
\newshadedtheorem{myfancytheorem}{Sunset special theorem}
\begin{document}
\begin{mytheorem}
\lipsum[1]
\end{mytheorem}
\begin{myfancytheorem}
\lipsum[1]
\end{myfancytheorem}
\end{document}
Either run the above code with
latex myfile.tex
dvips myfile.dvi
ps2pdf myfile.ps
or
xelatex myfile.tex
If you want to run it with pdflatex then add the option pdf to the pstricks load
\usepackage[pdf]{pstricks}
and compile with
pdflatex -shell-escape myfile.tex
ntheoremusespstricksto shade theorem. So you have to compile vialatex-ps-pdforxelatex. -- Maybe the packageframedis helpful. – Marco Daniel Nov 26 '11 at 23:43