This plugin helps you make a really nice looking interface to your theme options. The functions are pretty easy to use and it comes with decent documentation.
One wish is that the UI elements looked like the built in WordPress elements (i.e. the buttons, icons, and colors, among other things). I really like how the options interface looks, in fact, I might like it a little more than the default WP UI, but regardless, I think it should match better.
This plugin has helped me out on more than one occasion and I'd definitely recommend it.