hook_menu alternative for custom themes I can understand that hook_menu is for modules only, not custom themes. 
But if I want to add custom paths/urls to my theme what should I do?

For example if I want some of the content to load by ajax, and I want to use custom urls, then a "hook_menu" would be great for custom themes.

Surely there must be another solution than to write a small custom module?

Any suggestions and help is appreciated.

Raf
As of Drupal 7, themes can implement alter hooks, so you can use hook_menu_alter() in template.php.