I noticed that many submodules were missing, now conf.py searchs
recursively for all submodules.
That is huge, and some modules can not be imported to be documented.

So:
skip_modules = {"pyglet.gl": ["agl", "carbon", "cocoa",
                               "glext_arb", "glext_nv","glx", "glx_info",
                               "glxext_arb", "glxext_mesa", "glxext_nv",
                               "lib_agl", "lib_glx", "lib_wgl",
                               "wgl", "wgl_info", "wglext_arb","wglext_nv",
                               "win32","xlib"],
                 "pyglet.window": ["xlib", "carbon","win32", "cocoa"]}

And there are too much members, so far I have trimmed:

def skip_member(member, obj):
     module = obj.__name__

     if member.startswith("PFN"): return True
     if member.startswith("GL"): return True

     if module.startswith("pyglet.gl.glext_"): return True
     if module.startswith("pyglet.gl.gl_ext_"): return True
     if module.startswith("pyglet.gl.glxext_"): return True

     if module.startswith("pyglet.graphics"):
         if member.startswith("gl"): return True

     if module in ["pyglet.gl.gl_info",
                   "pyglet.gl.glu",
                   "pyglet.gl.glu_info"]: return True

     if module == "pyglet.gl":
         if member.startswith("gl"): return True
     return False

Comments, changes?

The new patch:
http://code.nabla.net/doc/pyglet/pyglet_sphinx_patch.zip

Should give 5 warnings.

First you can select a html theme in conf.py:
html_theme = "default"
or sphinxdoc, scrolls, agogo, traditional, nature, haiku, pyramid

Witch one?

Then inspect and play with the css files in doc/_build/_static,
and copy modified files to doc/_static when done.
Preview: http://sphinx.pocoo.org/theming.html

Anyone? We could make a contest.

If that is not enough, we can create a Jinja2 template:
http://sphinx.pocoo.org/templating.html