Best Theremin player out there is Dorit Chrysler if you ask me. I've been listening to her for years (she actually used to front another cool band called Halcion, but didn't use the theremin with them to my knowledge). Anyway, she creates some fantastic music and it's highly recommended. Here's a video that shows footage of her playing the theremin:
http://www.youtube.com/watch?v=TIMLLkFdUH4
There are more clips of her on youtube and you can check out her site at
doritchrysler.com. And yeah, I've wanted a theremin for ages too... someday I will own one. :o