Themes define the visual look of your site. Most of them also have 'hooks', which allows you to set things like your site icon. They're quick and easy to install and set up.
You can install and select themes via the Appearance -> Themes option from the WordPress side menu.
Adding a New Theme
This section covers a common way to add a new, free theme from the WordPress repository. There are loads of them to choose from.
Go to Appearance -> Themes and then press the Add New button at the top of the screen.
You'll then be presented with a screen as follows:
You can search for themes (1) or scroll through them at your leisure. If you click on a theme (2) you'll be given more information about it, and if you want to install the theme just click on the Install button (3) that appears when you hover over a theme with your mouse.
Selecting a Theme
Once you've installed a theme you can activate it by going to Appearance -> Themes, hovering over the theme you want to activate and clicking the Activate button.
Your themes is now active and you can view it by looking at your site.
Customising a Theme
Most themes offer some options for customisation, which you can access via the Appearance -> Customise menu option.
The customisation options will vary depending upon the particular theme so I can't really describe them here. Look through the various options and change things to your requirements.