It ships with 2 skins Analytics1 and Analytics2, it uses Analytics1 by default but you can change it to the darker Analytics2 like this:
<add key="stsAnalytics:Theme" value="Analytics2" />
The skins are located under /App_Themes
They are not the same as site skins and not interchangeable with site skins, but you could copy either Analytics1 or Analytics2 and give it a new name and then modify it to make a new custom skin. Colors of the charts can be controlled by the theme.skin file and other things can be controlled by css.