Myn's is a great Sense ROM, for sure. However, there are a lot of ROMs out there and I'm sure you're going to want to try out a few while you are in ROM flashing mode. To start, hit the XDA EVO Development thread...
EVO 4G Android Development - xda-developers
Read up on the different ROMS and Kernels and figure out which ones you want to use. The OP in each ROM/Kernel thread will have detailed instructions on how to flash the ROM/Kernel. Make sure you read the OP and 1-2 posts after to ensure you know what you are getting into. Some ROMs don't have everything working (4G, camera, HDMI, etc...) so you will want to understand that before flashing. The basic flashing procedure is...
1. Donwload ROM/Kerneal .zip file to SD card.
2. Reboot into recovery.
3. Nandroid backup the current ROM image.
4. Wipe Data/cache/dalvik (there is another .zip file you can run that will do this step for you).
5. Flash the ROM/Kernal zip (some ROMs will have other zip files that you need to flash after flashing the main zip file, the OP will have all the details on this).
6. Reboot into your new ROM.
It's pretty much that easy! The cool thing about loading up new ROMs is once you get them running just how you want them you can do a nandroid backup. After you have a few different nandroid backups, you can nandroid recover between ROMs! So, you might have a CM7 backup, a Myn's backup and a VaelPak backup. You can run the recover for each backup and get right back to where you left off, everything is still there. This makes all my iPhone friends really jealous!! Most importantly, have fun! There are a lot of cool things you can do (like connect a Wii remote in the MIUI ROM!) once you are rooted you just have to poke around the forums. Flashing Kernels will provide other benefits (or possibly create new issues) like improved battery life, CPU overclocking, Wimax in 2.3 ROMS, etc...