The Default Icon Sets
By default, Trinity ships with one icon set (Crystal SVG) in tdebase, five more (iKons, KDE-Classic, Kids, KDE-Locolor, Slick Icons) in tdeartwork, and one (Monochrome) in tdeaccessibility. Here's a quick comparison chart (using the largest folder icon available as a visual sample):
Using Non-Trinity Icons with Trinity
Go right ahead. Trinity should be able to use any icon theme suitable for X Windows desktop environments, including KDE4's Oxygen, the various custom icon themes created by Ubuntu, themes created for Gnome, etc. Icon sets for KDE will probably have the largest selection of icons for Trinity-specific applications like amaroK and Konqueror. If you don't like any of the sets your distribution makes available, the best place to look for additional ones is the KDELook.org Icon Sets section.
Once installed, additional icon themes should show up in the Control Center under Appearance and Themes > Icons.
If you want to pick and choose individual icons, they can be in .png or .svg format. Microsoft Windows .ico files won't work, but you can convert them to .png by using appropriate software.
If you want to create your own icons, we provide kiconedit in the tdegraphics package in order to make it easy to do just that.