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Most themes for single-user WordPress work right out of the box, but there may be a few details to watch out for.
In particular, compatibility with Widgets is important as users cannot edit themes. Each theme used is shared by all members using that theme. If you make a blog-specific edit to a theme, ALL blogs using the theme will show it.
Theme issues to look for when testing a theme for your MU install:
It is a good practice to test each and every theme you install in MU. Upload it, and enable it just for a test or admin account. Switch to that theme, taking notes of any errors or fixes needed, such as plugin dependencies or hardcoded areas like "edit sidebar.php to put your author info here". When you have fixed them, then you may enable the theme site-wide.
Remember, not all themes released have been fully tested or implemented for all situations.