Yeah, as has been said by Born2Amuse as well as Rich, there's pretty much hundreds of options when it comes to "sexy" forms. You can even jump to WPF if you REALLY wanna customise that shit up. If you want to simply create a nice looking background in photoshop and then use it, you can just import it to your resources and then set it as the background image to your project. From there you can use things like TransparencyKey etc to get your custom shape around the edge. Also, you can go completely custom and handle the paint event of your form and it's various controls and make something you like.
It's up to you though, I agree with the other two that custom controls are by far the simplest and easiest way to get a good looking form with very little effort.