There isn't one global setting, but you can change the look of your online chess, live chess, tactics, and chess mentor pieces.
http://www.chess.com/home/echess_settings
http://www.chess.com/home/livechess_settings
http://www.chess.com/tactics/settings
http://www.chess.com/chessmentor/settings
I don't like that the pieces style is always different, almost like randomly picked. And I find some of the styles ugly and irritating.
Is there a way to select classic pieces style for everywhere on the site?