Here are some resources I found very useful while learning how to create WordPress Theme Options pages:
Tutorials
http://forthelose.org/how-to-create-a-theme-options-page-for-your-wordpress-theme
http://aext.net/2009/10/wordpress-theme-design-with-options-adminstration/
http://wpshout.com/create-an-advanced-options-page-in-wordpress/
http://www.bloggingtips.com/2009/04/30/creating-theme-options/
Books
has a good section about coding up Theme Options pages.
Examples
http://www.techiesouls.com/2009/06/11/25-beautiful-free-wordpress-themes-that-offer-theme-options/
Also somewhat unrelated, but good to be aware of, is the Theme Development checklist found in the WordPress Codex:
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Web professional in Malta, Europe. Focusing on building visually stunning websites that are easy to maintain, usually using WordPress as the CMS. Web developing since 1995, loving WordPress for more than 5 years.
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