This is a jQuery script I wrote that looks at each web part on the page and, based on each web part's chrome setting, adds containers around the web parts. I use this script to apply stylistic treatments like rounded corners to individual web parts, not just the web part zones they belong to.
Using this script and CSS you can create a web part with rounded corners and a bottom drop shadow with transparency, like this one (note the web part title is the true, fully-functional web part title.
Prior to using jQuery I had to wrap a web part zone with a div and CSS class in the page layout; doing so, I could apply background colors and rounded corners to the web part zone's container but not to the individual web parts. Plus, stylistic differences between pages could require that different page layouts be applied, which complicates maintenance.
The jQuery approach is much cleaner and more flexible. What have you tried to do with web parts that has entirely too difficult or impossible to do? Have you tried using jQuery to do them?