Yes, Swing is very customizable. I recommend reading Filthy Rich Clients.
For an example, have a look at Cezanne L&F.
Swing is very flexible with regards to look-and-feel and you can certainly make very good looking applications with Swing.
I recommend the book Filthy Rich Clients by Chet Haase and Romain Guy if you want to learn how to make nice Swing GUI applications.
There has been some advancements in the GUI front in Java.
For example, beginning from Java 6 Update 10, it is possible to make transparent and shaped windows (i.e. arbitrarily-shaped windows commonly seen in media players) in Java:
How to Create Translucent and Shaped Windows
Filthy Rich Clients: Developing Animated and Graphical Effects for Desktop Java Applications by Chet Haase and Romain Guy is a good book full of tips on making advanced GUIs in Swing.