Sure, I'll forward Views, Webform, Ubercart, and SimpleNews as examples. But you could add any module that does not have default styles, which is almost all of them.

The idea of separation is one that I think is often misunderstood or applied in an impractical way in most CMS systems including Drupal. Certainly Drupal themes can theme any output from Drupal modules. However, existing themes usually cannot predict all the output from all the modules, so there is naturally gaps. Those gaps result in all sorts of layout problems from content bumping into other content and lists falling apart or divs floating over other divs and all kinds of things that you get from what is basically "raw HTML". And that is what I would say Drupal modules are generally is "raw HTML output". Whereas in WP, most plugins are "HTML output with default theming applied". In either system you can customize the output with theming, but I think the time and cost difference is substantial because my concern in Drupal is that when 1,000 developers use a certain module, they are all writing CSS from scratch and burning time and money when the original developer could have saved at least a portion of that time.