In my humble opinion, xscreensaver is quite ugly. Even worse, xscreensaver doesn't support theming, without recompiling. Jamie Zawinski, the main developer, provides and explanation for his design decision.
Anyways, by adding some lines to ~/.Xresources, it is at least possible to change some colors and fonts.
The above screenshot had the following settings in ~/.Xresources: xscreensaver.splash: false
!font settings
xscreensaver.Dialog.headingFont: -*-dina-bold-r-*-*-12-*-*-*-*-*-*-*
xscreensaver.Dialog.bodyFont: -*-dina-medium-r-*-*-12-*-*-*-*-*-*-*
xscreensaver.Dialog.labelFont: -*-dina-medium-r-*-*-12-*-*-*-*-*-*-*
xscreensaver.Dialog.unameFont: -*-dina-medium-r-*-*-12-*-*-*-*-*-*-*
xscreensaver.Dialog.buttonFont: -*-dina-bold-r-*-*-12-*-*-*-*-*-*-*
xscreensaver.Dialog.dateFont: -*-dina-medium-r-*-*-12-*-*-*-*-*-*-*
xscreensaver.passwd.passwdFont: -*-dina-bold-r-*-*-12-*-*-*-*-*-*-*
!general dialog box (affects ...