Most themes will work with WordPress 3.0 but are not designed to take advantage of the new features such as menus and multi-user. The code will need to be added to your current theme.
Many paid and premium themes have released updates for their users that contain the code for the new features.
Here are 5 free themes that are WordPress 3.0 ready. A couple of them are variations on the new default theme, Twenty Ten.
Have you installed WordPress 3.0? Does you theme utilize the new features?