I heard talk of there being themes on this forum, but I can't for the life of me figure out where the theme change option is. Can anyone point me in the right direction?
You mean the theme of the site itself? I do hear there were more themes a while back, but they have since then been removed, likely due to layout changes. 2257's CSS Yoshi's Island theme is a thing, which is (to my knowledge) the only alternate theme to the site that has been released since.
Another use of the word "theme" is simply when the avatar, signature, and other profile points are themed after a specific person/thing. For example, if I was hypothetically going for a Obama theme, I would have a Obama avatar and maybe an Obama quote in the signature.
I'm pretty sure this is the more commonly used meaning of "theme," and if you saw people talking about it, this might be what they mean.