Many applications have dialogs which have totally custom-looking dialogs, big fat tool-bars and non-rectangular shapes. Notepad++ looks fairly standard, but is able to make dialogs transparent (e.g the search/replace dialog).
While WPF allows such things (I think) apps have been doing this way before WPF/Aero/Vista existed. Do thye all rely on totally customising the painting/rendering functionality or do they do something else? I've not seen much in MFC or Winforms for this as standard.