First a couple of terms which will help you to understand this issue in particular and other things in general WRT a linux GUI:
Someone should really write a simple, canonical explanation of these in a linux context...anyway, the base windowing system generally used on *nix systems (including linux) is the Xorg (anachronistically, X11) server, which deals with the hardware interface provided by the kernel and in turn provides a graphical windowing system to "userspace" applications.
So Xorg provides the fundamental possibility of a graphical desktop on which shaped windows can appear as interfaces to specific programs. Its relationship to what appears in those windows is pretty minimal, however, and realistically on top of Xorg you need a window manager (the WM) which manages some of the ergonomic and logistical properties of the windows.
In terms of theme, that includes the border/frame and title bar, and possibly also things like menus and icons. If you are also using a DE, such as XFCE -- note that conventionally all DEs use a WM -- there may be some grey areas here with regard to which part does what.
Separate from the WM and the DE is the widget toolkit, which, as you seem to have noticed in your other post, is most of the bits and pieces you see inside windows. The widget toolkit is a library used by an individual application and it is independent of the WM and DE, which is why you can use the same GUI application (eg, firefox) on any DE.
The widget toolkit predominant in the linux world is GTK; in fact, pretty much everything uses GTK. DE's include various applications of their own (such as a file browser) in a package, and those are unified so use a singular widget library -- again, usually GTK, which XFCE does. An exception to this is KDE, which uses the Qt widget library. However, you can still use GTK apps in KDE and Qt apps in (eg) XFCE.
It's the widget library that determines how all those grey regions look, so if you want more options there, you want more "GTK themes", as Magnus says. You can get them from anywhere (although you then have to install them yourself) and you can actually make them up (using code), but your distro probably has lots of them in packages. Eg, here's what I get doing a
yum search gtk | grep theme on fedora 17:
adwaita-gtk2-theme.x86_64 : Adwaita gtk2 theme
adwaita-gtk3-theme.x86_64 : Adwaita gtk3 theme
albatross-gtk2-theme.noarch : Albatross GTK+2 themes
albatross-gtk3-theme.noarch : Albatross GTK+3 themes
bluebird-gtk2-theme.noarch : Bluebird GTK+2 themes
bluebird-gtk3-theme.noarch : Bluebird GTK+3 themes
bluecurve-gtk-themes.i686 : Bluecurve GTK+ theme
bluecurve-gtk-themes.x86_64 : Bluecurve GTK+ theme
egtk-common.noarch : Files common to eGTK themes
egtk-gtk2-theme.noarch : The eGTK theme for GTK+2
egtk-gtk3-theme.noarch : The eGTK theme for GTK+3
egtk-metacity-theme.noarch : The eGTK theme for Metacity
egtk-xfwm4-theme.noarch : The eGTK theme for Xfwm4
greybird-gtk2-theme.noarch : Greybird GTK+2 themes
greybird-gtk3-theme.noarch : Greybird GTK+3 themes
gtk-aurora-engine.i686 : Aurora GTK+ theme engine
gtk-aurora-engine.x86_64 : Aurora GTK+ theme engine
gtk-chtheme.x86_64 : Gtk+ 2.0 theme preview and selection made slick
gtk-chtheme-debuginfo.x86_64 : Debug information for package gtk-chtheme
gtk-equinox-engine.i686 : Equinox theme engine for GTK+ 2.x
gtk-equinox-engine.x86_64 : Equinox theme engine for GTK+ 2.x
gtk-nodoka-engine-extras.noarch : Extra themes for Nodoka Gtk2 theme engine
gtk-xfce-engine.i686 : Xfce GTK theme engine
gtk-xfce-engine.x86_64 : Xfce GTK theme engine
light-gtk2-theme.noarch : Ambiance and Radiance GTK+2 themes
light-gtk3-theme.noarch : Ambiance and Radiance GTK+3 themes
oxygen-gtk.noarch : Oxygen GTK theme
oxygen-gtk2.i686 : Oxygen GTK+2 theme
oxygen-gtk2.x86_64 : Oxygen GTK+2 theme
oxygen-gtk3.x86_64 : Oxygen GTK+3 theme
zukini-gtk2-theme.noarch : Zukini GTK+2 themes
zukini-gtk3-theme.noarch : Zukini GTK+3 themes
zukitwo-gtk2-theme.noarch : Zukitwo GTK+2 themes
zukitwo-gtk3-theme.noarch : Zukitwo GTK+3 themes
zukiwi-gtk2-theme.noarch : Zukiwi GTK+2 themes
zukiwi-gtk3-theme.noarch : Zukiwi GTK+3 themes
First notice there is a GTK 2 and a GTK 3 (I drop the '+' because I'm ignorant ;) ). You might as well install both where available; I think XFCE's own components are GTK 2.
If you install one of those, you should subsequently see a bunch of new choices appear where-ever you set this aspect of your theme (again: it is not the same as the window theme). I will not promise you they are not still all predominantly gray, lol, but choices they are. If you browse around online, you may find all kinds of zany things.
There's a GUI theme switcher I like called gtk-chtheme which is DE independent, search for the package, install, then run
gtk-chtheme; this will allow you to set the GTK theme and font in a very simple straightforward way and preview them too.
If you are sick of gray/blue-gray there are a lot of nice "Murrina" themes in various light colors -- don't ask me which package they are in tho...