HTML & CSS
Simple solution - don't bother.
If you mean just changing the colour of the regular scrollbars, that is irritating because it clashes with the browser's default colours, which have been set to gel nicely with the browser and operating system colours. If you then come along and make them bright blue, you might think it looks good, but there's a good chance that most other people will hate it.
If you are talking about changing the actual look of the scrollbars themselves, rather than just the colour, that's an even bigger no-no. Scrollbars are just there, they're part and parcel of the operating system and browser. People know them and are comfortable with them. Introducing something that looks different is much more likely to confuse people than impress them.
Not to mention that, as with forms, it's not possible to alter the appearence in all browsers.
Custom scrollbars went out of style in the late nineties, so unless you're building an intentionally corny site, do as Stevie wrote, and don't bother.