To replace HTC Sense completely you will have to root your phone and replace the ROM completely. Please see this post for more information: How do I root my Android device?
If on the other hand you're looking at replacing your homescreen/launcher then there are plenty of options.
I personally have LauncherPro and have upgraded to the Plus version. The Plus version has 90% of the widgets Sense UI has but is in my opinion far quicker, more stable and has way more features.
NB: I don't believe any of these Launchers allow you to utilise the widgets from Sense UI.
EDIT: Just to answer your comment. LauncherPro is an app you can download and install from the Android Market. Once installed clicking the Home button will prompt you to select which launcher you'd like to use (either LauncherPro or Sense UI). All you would do from there is check the "Default" checkbox and select LauncherPro.