Welcome to world of root and custom ROM's! This is where the real fun begins. Rom Manager is ok (the free version) but does not give you a complete list of all ROMs available. Plus, RM requires you to use ClockWork Recovery, which has been unreliable for me but not others. The full verion of RM might give you a larger ROM selection, but I don't know. I use Amon_RA recovery and have never had problems with my ROM installs. There are a couple of threads floating around here in AC with links to all the ROMs that are out there. A quick search will get you to those threads. Best thing to do is hit the XDA EVO Development site and read up on the ROMs that are out there. Those threads typically have hundreds of pages but if you read the main post from the OP, they trpicall update that post with the latest info. Know the issues with the ROM prior to loading it up. Some don't have all the features of the EVO working (HDMI, GPS, MMS, Camera, 4G, etc...). If you have questions, do a search to see if someone else has asked. If not post it. The guys on AC are awesome and very helpful if you run into problems.
Here's a link to the XDA EVO dev forum:
EVO 4G Android Development - xda-developers
Here's a nice consolodated list:
http://alchemistar.blogspot.com/2010/10/htc-evo-4g-supersonic-custom-roms-list.html
SouthPhilly's post above on "how to" flash a ROM is spot on. The general step for flashing a new ROM are:
1. Boot into recovery.
2. Nandroid backup.
3. Wipe data/cache/dalvik (there is also a format.zip file out there that will perform an extended wipe).
4. Flash the ROM zip (some ROMS will also require you to flash other zip files after you flash the ROM zip).
5. Reboot into your new ROM.
If you get stuck in a boot loop (where the phone is not booting all the way to the home screen) then you need to:
1. Pull your battery.
2. Put battery back in.
3. Hold Power+VolDown.
4. Select Recovery.
5. Nandroid restore.
6. Reboot.
This will get you back to the ROM you backed up from step 2 above.