Depends on what you want it to look like, but mainly based around the theme of your game (I'm guessing it's a game and not a utility).
Here's a couple of random examples of the top of my head:
If your game is based around something like alien invasions, like a b-movie style (I think that's what it's referred to), maybe a menu in black and white (like on old tv's) set on a newspaper with a headline like "DISASTER- ALIEN LANDINGS IN CITY!" and some random articles, with links to other menus.
If it's a first person shooter, a close up of a gun in someone's hand or the shadow of someone holding a heavy weapon might be good as a background, with the menu items being in the trail of a bullet, with the bullet on the left/ right side of the menu item.
That's all I can muster, but how about these examples of interesting menu designs:
Ever played Driver on PSOne? Cool menu design.
The old Tomb Raiders had an interesting rotating inventory design.
Gran Turismo had like a big map with icons all over it.
RollerCoaster Tycoon 3 had a modern look.
Try looking up the above games and finding some shots of menus. In fact, just look for lots of different game menus, try finding features of games you've played, look at examples on TGC website, and try to come up with a menu that you think looks good enough. Justin W has provided you with an invaluable list of things you ought to think about. Good Luck with whatever your making a menu for.
I am paranoid. No more can I say.
