Go for it, it's all about good UI design anyways

I design my applications to accomodate the user's theme selection. If they are using XP-Metallic then my application will render in silver. If they are running XP-Homestead, then olive. If they are using XP-Classic or an older version of Windows, then it will render using the classic controls. Basically, it's about run-time flexibility - that includes changing theme on the fly (a broadcast message, WM_SYSCOLORCHANGE or something like that, notifies you of a theme change).

Then again, if you can make a really good looking, clean, usable skin for your app, that's fine too. It depends on what it is. For a media/entertainment application, skinning can work well. For a business application, skinning probably isn't a great idea, you should aim to fit in with the user's OS appearance so that the design isn't distracting from the use of the application.