We need additional application in order to change the GTK theme, Window theme and Icon theme on Ubuntu or Elementary OS desktop. In Ubuntu you can use Unity Tweak Tool or Gnome Tweak Tool. In Elementary OS Luna you can use Elementary Tweaks. The Elementary OS Freya does not support the Elementary Tweaks yet but, this post can help you to get it works on Freya.
But there is also another way to change themes in Ubuntu Linux without having to install those third party application. We can easily change theme and icon theme via Terminal. This is how to change the GTK, Window and Icon Theme from Terminal on Ubuntu, Elementary OS
A. Change GTK Theme
gsettings set org.gnome.desktop.interface gtk-theme "Numix"
B. Change Icon Theme
gsettings set org.gnome.desktop.interface icon-theme ‘Numix’
C. Change Window Theme
gsettings set org.gnome.desktop.wm.preferences theme "Numix"
Off course you need to change Numix with the actual theme installed on your system. Usually, themes are located under /usr/share/themes and the icons should be /usr/share/icons.