Looking to create 36 channels of PWM control for LED sculpture
There is a fancy Arduino library for doing PWM through shift registers, called ShiftPWM. It was developed more or less specifically for what you are wanting to do (control lots of RGB LEDs with an Arduino). I saw this on Hack-a-Day several months ago. It looks very cool and boasts the potential to control 768 LEDs (or 256 RGB LEDs) at 5-bits (i.e. 32 brightness levels) per color channel (i.e. >32000 possible colors). I'm looking forward to using this library at some point myself. And it's only going to take up three pins on  your Arduino - for serial, clock, and latch to the initial shift register (in the chain). This library is meant to drive something like the 74HC595 shift register, which is  hell of a lot cheaper than the TLC5940.