You can override the way the pager is returned by using the various pager theme functions, like theme_pager, theme_pager_first, theme_pager_previous, theme_pager_next, theme_pager_last, theme_pager_detail, and theme_pager_list..
Yes, but it's not consistent. theme_pager_next is used for both the "next page" link and the numbers. To theme the pager properly they must have *different* definitions.
Since I wasn't able to figure out how to make it work properly I uploaded the old pager.inc in Drupal 4.6.0. Can that bring to problems?
-HRose / Abalieno