Alternatively to the simple theme method which provides some options like color, wallpaper and font you can install complex theme packages to get an even better looking boot menu.
There are several download sources like this thread at ubuntuforums.org:
<a href='%1'>%1</a> (needs account)
or search for '%2' at <a href='%3'>%3</a>
Just download such a package (which is in tar.gz format in most cases) and add it to the list of available themes by using the add button next to the theme chooser.
After changing the theme you'll see a simple editor which gives a preview of images and allows some file management. Modified theme contents will be saved when you're pressing the save button.
