For one, the theme selection is skin-specific, so it should be using this if possible for each skin. Also the skin preferences appear to immediately update via js once another skin is selected (though not applied), so it would be good if theme did this too for consistency, especially given it tries to live preview them via js as well.
So for example with monobook applied, but vector selected, vector preferences show (and visa versa):
Theme should do the same.
On closer inspection it looks like this would break the live preview, but... do we *really* need that? >.>
Given @Fomafix's recent patches, which I've merged, I'm tempted to close this as RESOLVED as the theme selection is overall better and live preview is now much more robust (yay!). Granted, one could (reasonably, IMO) argue that the theme selection menu should be right below the relevant skin, but most sites tend to have around or easily less than 10 skins, so it's not really much of an issue, I think; it's only my localhost wiki which has like 50+ skins so having to scroll to the bottom of the skin list to switch theme gets slightly tedious. ;-)