Docky currently ships with 8 themes:
Adding new themes
The easiest way to add a new theme is to open the Settings Dialog and click the 'Install button on the Docks tab. Then select a tar archive containing a theme and Docky will install it for you.
You can also manually install themes into one of these folders:
- /usr/share/docky/themes -- this is global and will be available to all users. You have to have root privileges to write in it. On Ubuntu you can press ALT+F2 and then:
gksudo nautilus /usr/share/docky/themes
- ~/.local/share/docky/themes -- this is per user and is in your Home folder. To see it you will have to enable view hidden files in your file browser.
Place the theme there in a sub-folder with the name of the theme. Note that the folder isn't created automatically so you will have to create it.
Also take a look at the Theme Specification if you are interested in designing your own themes.
Community Themes 
You can find other community-created themes for Docky from sites such GNOME-Look.org.