The rehearsal dinner should complement the wedding, not overshadow it, so take the style of the wedding into consideration when choosing your theme. This doesn't mean that the theme has to match the formality of the wedding -- some couples even prefer one that's in complete contrast to their wedding day.
The best way to go about planning the dinner is to really think about the look and feel you want for the evening. Then, choose something that will help you accomplish that atmosphere. The theme will also help you select a venue and menu; for example, if you're going for a laid-back, help-yourself kind of dinner, consider having a classic picnic theme at your local park and serve barbecue! Of course, just as you seek the bride's stamp of approval on the guest list, you'll also want her OK on the theme.