With Gvim, one can finally use the whole color space (not just 16-colors) to do nice code syntax highlighting and such.
Unfortunately, actually developing a good colorscheme is pretty difficult and tedious. That's where this page comes in. It lets you browse a bunch of canned color scheme files, rendered against some sample code. See one you like? click the link, download the .vim file into your ~/.vim/colors directory (create it if you don't have one), then in a gvim session, issue the command :colorscheme foo where foo is the name of the file you just downloaded, minus the .vim extension.
One quick note, sometimes these files are DOS formatted, and unix gvim doesn't seem to like them. To fix this, open the file in vim, and then issue the command :set fileformat=unix, and you should be good to go.
My personal favorite is 'camo'. It's a nice dark brown look that doesn't have any obnoxious neon colors.