(June 2nd now: it seems a small number of Samsung devices have a similar issue, and Substrate correctly detects that it canot use the same workaround; I will work on a new solution, likely one that solves both of these use cases at the same time. There is no harm in running Substrate and seeing if the workaround is possible: that's detected.)
Substrate is a platform for customizing software. Due to limitations of the Google Play Store it must be installed separately, but its primary purpose is to support other products: users should not expect Substrate itself to do anything interesting. Instead, it should be thought of as enabling your device to support other things you may install.
Products that use Substrate are able to modify any other program, whether it came with your phone or was installed later, or whether it was developed by Google or by a third-party developer. These kinds of changes carry an inherent risk: changes to the underlying software being modified may break the modifications ("extensions") you install.
*IMPORTANT*: Substrate for Android is new. While I've spent a bunch of time testing it on a bunch of devices with many versions of Android, there is always the possibility that there's something unique to your setup that causes an incompatibility. If possible, I'd recommend having a backup of your device handy; I'd also recommend being setup with a recovery mode image that allows you to easily delete Substrate. For more information, see this FAQ item.
Users should keep in mind that Substrate includes a safety feature: by holding down the volume-up button on your device you can disable Substrate while it is attempting to load these modifications (such as while it is turning on and starting); this will give you an opportunity to use Google Play to uninstall things that might be broken.
Substrate has been tested fairly extensively. It is designed to work on Android versions 2.3 or above, but will work on any "equivalent" versions (systems like CyanogenMod or the Kindle Fire use their own versioning schemes). It is supported on devices that use either ARM or Intel CPUs and works on "strange" devices (including Google Glass).
While Substrate support for Android is very new, Substrate was first released in 2008 for Apple's iPhone and is now being used by tens of millions of devices worldwide. Many people know it as "MobileSubstrate", how it is usually distributed for the iPhone, iPad, and iPod Touch via Cydia, the alternative to the App Store for "jailbroken" devices.
If you are a developer, you can learn more about how to work with Substrate at http://www.cydiasubstrate.com/. There, you will be able to find documentation, tools, and examples. Substrate for Android also shares many development concepts and APIs with Substrate for other platforms, so tutorials from third-party websites may help.
(Users of Substrate on iOS may remember that there is a more general "Safe Mode" feature that will catch crashes, allowing for a more intuitive response to failures. This will be implemented in an upcoming version of Substrate for Android, but please remember: you can always use the "volume up to disable" feature to skip bad extensions.)
(Substrate requires the ACCESS_SUPERUSER permission, and during its installation it will add a few files to your device. No files will be modified or overwritten: only a few new files--all symbolic links, taking up virtually no space--are added. Substrate only requires root during installation and to help it restart your device to use new extensions.)
WinterBoard is a "theme engine" that allows you to use the numerous themes you may find in the Google Play Store on your device without having to install custom ROMs or use custom launchers. It allows you to use almost any launcher icon theme with your stock launcher and supports "Theme Chooser" themes without CyanogenMod.
This is accomplished using a modification to the software on your device managed using Substrate, a code modification platform. You will therefore also have to install Substrate to use WinterBoard. You can find Substrate in the Google Play Store; if you attempt to use WinterBoard without Substrate, you will be directed to install Substrate.
Users may recognize the name WinterBoard: we distribute a similar program for Apple's iPhone, iPad, and iPod Touch. Available to users via Cydia, the alternative to the App Store for users of "jailbroken" devices, WinterBoard is used by tens of million users worldwide, supporting well over ten thousand known themes of varying complexity.
Artists who want to make themes compatible with WinterBoard do not do anything special: the goal of WinterBoard is to support themes designed for most other theme systems. In specific, you can use themes designed for ADW Launcher, GO Launcher Ex, Launcher Pro, dxTop, and the T-Mobile/CyanogenMod Theme Chooser platform.
Please note, however, that WinterBoard is still under development: while the core features of these themes will likely work, many others might not. The priority for launcher themes has been "icon packs". It is a goal of WinterBoard to support as many features of these themes as possible, so users should check back later for updates.
Within WinterBoard, users will see a list of themes that they have installed on their system. To activate themes, click the entry to mark them with a check. Yes, you can turn on multiple themes ;P. Themes override each other based on their order in the list: to move them around you drag them up and down using the handles on the right.
When using Theme Chooser themes, please understand that these are often tailored to the specific version of the firmware you are running, and that even finding a theme for the "equivalent" version of CyanogenMod to what you have installed might not have everything aligned for the theme: things may look awkward or simply be missing.
The expectation is that, like on iOS, people will eventually start building themes optimized specifically for the stock software that can be used with WinterBoard. The result is that, just as you find themes currently that claim compatibility with certain versions of CyanogenMod, themes might claim support for "Android 4.2 w/ TouchWiz".
(WinterBoard requests the ACCESS_SUPERUSER permission, but only uses it to restart the system to apply your new themes. It does not physically modify any of the stock software stored on your device: all modifications are made dynamically via Substrate, so uninstalling WinterBoard is guaranteed to remove all traces of its installation.)
If, while using WinterBoard, you run into any problems (such as it crashes on boot, preventing your device from starting), please remember that Substrate has a safety feature built into it: you can hold your device's volume up button to temporarily disable Substrate so that WinterBoard is not loaded, and then your device boots correctly.
The launcher icon pack and Theme Chooser theme that are used in the screenshots are both available from the Play Store. The former is free, while the latter costs money (sorry, not my product; I will attempt to find another theme that works well together for the example screenshots in the future, but my goal right now is to get this released ;P).