I would like my Windows Forms .NET application to be a bit nicer, having fancy rounded windows corners, non-standard color set, pretty controls.
Though all this is possible to implement with custom ownerdraw, I'd like not to spend much time and take existing free implementation (if any).
Please recommend the choice of yours.
I don't know of any complete free library, but to improve the look or functionality of common .Net controls I'd look at the CodeProject site. There's lots of articles about customizing controls. For example, here's one about making round buttons.
You might need to do owner drawing, but assuming that the license for the code in that or other articles are suitable for your needs you might be able to re-use code without having to write much yourself and some of the articles contain class libraries that you might just be able to reference in your code.
If you want to give your app a Windows 7 look there's also the Windows API Code Pack for .Net
As far as I know, there is no way to do "themes" or "skinning" easily in WinForms. You will have to find/purchase custom controls (or control libraries) that do all of the rendering that you require or do as you mentioned and render your own controls.
If you migrate your application to WPF, you'll find a lot more support for themes and "skinning".
Cheers.