When creating custom webparts I also prefer to implement them by overriding the CreateChildControls() and Render() methods. In the Render() method I have full control of the html output and I can render my inner controls by calling this.someInnerControl.RenderControl(writer).
Having full control of the html output also makes it easy to style the html using CSS. As other people suggests, use an external CSS file and apply the styes to the class attribute on html elements or CssClass property on ASP.NET web control.
When I implement webparts, that does not require special branding, I prefer to reuse the CSS classes defined by SharePoint. This will ensure that my webpart is visually similar to the webpart provided by SharePoint and that I keep a consistent look and feel.
When using the SharePoint defined CSS styles, you should be aware of your html output. Some of the CSS classes requires a specific html structure to properly render. You can always use the browsers "View Source" to check the html of the SharePoint element you are trying to imitate.