WordPress MU

There is a way for that?

You could probably code something. Gotta admit though that it takes away from the simple signup procedure. I'd just list it in a "what to do next for new users" if you have one.

I'm willing to add this too. Adds stickiness to the site, the user who's had to made personal choices such as theme or avatar is one way closer to becoming an active participant, while the one who just dropped his email may still be in the look around mode. The more you get them to do things, the more likely they are to stick around (probably subconciously just because they don't want this time spent customizing to be wasted).
Anyway, I think the only way currently is to hack down the registration page. I'll probably myself add a page in-between registration and actual creation page, than pass an extra param to creation page and then hack reg page to pre-set the theme. Dirty code incoming ;-).

I also found that dirty code is necessary for the registration modifications.

The wp-signup.php does not have enough API hooks. But by using those hooks, you can minimize the hardcoding to the wp-signup.php file.

The following three might be useful:

add_filter( "preprocess_signup_form", "yourprogram" );
add_filter( "signup_finished", "yourprogram" );
add_filter( "signup_hidden_fields", "yourprogram" );