Trollsmyth recently posted a discussion of theme in sandboxes which hits a lot of points I've been thinking about lately because the techniques he's discussing are all things he's demonstrating in the Labyrinth Lord game. Basically I've realized that theme doesn't have to be the province of railroaders and "art" gamers: the DM can set up the questions, the players can provide (or attempt to provide) the answers, and that's theme.
This is an idea that really works for me, since as an English major and a human being, theme is something I enjoy thinking about. Exploring a conceptual space set up by the DM is fun, satisfying, and keeps me involved in the game even when I'm not playing. I've never done a whole lot with theme in my own games, but now that I've got a framework for it I might have to change that policy.
A couple of observations to add: Part of what works about theme in Trollsmyth's game is how specific it is. (At least, the major one.) Are you for the gods and their empire, or against them? The history of the world suggests that this is the latest facet of the continuing struggle between empire and anarchy, which in turn is just a face of the cosmic conflict between law and chaos. But my characters don't interact with it on that level. They're aware of the cosmic side of things, and it may very well come up in play at some point, but it's not as important to them as how that empire might affect them and their families, their own personal relationships with the gods, and the relationships they've formed with people who have their own strong opinions on the issue.
Also, while that's the main, and most obvious theme in the game, there are at least a couple of smaller themes running around. One is trust: one of my characters has repeatedly had to decide who she can trust, and how far, as well as figuring out how much they trust her. Largely this is a result of the game being fairly serious about people and their motivations, rather than simply glossing over a lot of what adventure-type games often gloss over to get to said adventure. But I've noticed it as a thematic concern, because that's an interesting way to think about it. I doubt I'd have looked at it from that angle if there weren't some flashier thematic concerns running around, which given the fun I'm having thinking about it that way is a pretty spiffy side effect.