Hopefully, your park will have more than a single themed area. Most large theme parks will have a consistent theme in one area, then as you walk from place to place, the themeing changes.
The question is, how do you go smoothly from one type of area to another? You can't have a Martian attack UFO next to a pirate adventurer. Then you have paths! How do you make a change from one path type to another look good? This guide shows you a couple of the ways around the problem.
First up, remember in the first guide about leaving lots of room? Well, let's hope you kept to that as it will make transitions not only easier, but improve the look of you park.
We'll start with something very simple: A basic change from one park area to another. In this case, asphalt path into a beach area.
This is really as simple as it gets. Using a set of steps down a hill, you can move from one type of theme to another. The lower level is distinct as it's far away, and the land type changes gradually (grass - dirt/grass - sand). The wooden steps are an acceptable way of moving from one path type to another.
Another slightly more extreme example of this can be seen here.
From the park central "hub", we can move over to the park's Western themed area. Using the same kind of idea as above:
By adding the wooden bridge, the parts of the park are connected in a way that looks good for both sides.
Sometimes though, you have a major change in theme, and the two are close together. In the far area here, I want to add in a Sci-Fi themed area, but it's going to be attached to both the green central area, and the sandy beach pirate area.

To help with the transition, and also to make the park look nicer, I'm going to add in a forest. I've marked out the rough outline of the area using some ferns. I've left a gap in them where the path is going to head off to. I've also changed the grass to a darker, rough grass.
Using lots of different types of trees, and different sizes, I've built myself a little forest. To the right hand side, by the beach, I've left a larger gap. I'm going to fill in that gap with tropical trees, like palms. They'll be thin at the front, getting thicker towards the regular forest. The idea is to blend the tropic, beach area into a normal wood.

So, we have a wood that blends, but how do we get it to blend nicely into a harsh, Sci-Fi environment?

Using the old "bridge" transition, over a pool of water, we've got a nice looking way into the wood. I've then added mountains around the edges of the wood to disguise the new theme behind it. The path goes down through a small valley I've left between the two mountain ridges. Okay, so it looks quite pretty, but now we have to change from dirt path to a Sci-Fi path!

Here's the view from the side which is going to become the Sci-Fi area. How can we tackle it?

I've added in a very simple building (in keeping with the pirate kind of theme to a degree). The building just spans the path and can be used to cover over the path type change. Unfortunately, that building doesn't look very Sci-Fi to me. Now, this is where you have to make a decision on if you want to make a park which looks good from the air, or one which would look good for visitors. The latter is the preference if you're creating a realistic park.

The Sci-Fi area is going to be all square, manufactured and unnatural. So we need to square off those pesky flowing hills for starters. The front is kept, but the backs are lowered, ready for the Sci-Fi theme to go in. We need to hide the fort style building though and complete the path transition first.
The new Sci-Fi building is also spanning the path, and is flush up against the other building. I've included this shot to give you some idea of what the transition will look like to a visitor.

And the area entrance/exit is complete. How does it look though from the view of a visitor?
The trees help to hide the little bit of building that could be seen. And from the other direction?
The transition building looks fine, but the trees and blank walls look a far cry from Sci-Fi. We can cheat a little here using some building blocks.

If we build up walls around the edges, then we can cover up and hide some of the natural scenery. Later we can decorate this a little better, maybe roof it off, but it's fine for the moment, the transition is almost done. The problem is, we will be able to see the Sci-Fi walls on the other side! We need to cover those too.

There we have it, the "natural" side has a bamboo barricade which may have been built to defend against attacks, or for decoration, or some other reason you can think of for an excuse.
If you own Soaked or Wild, you have another option available to you. Both of these expansions give you the ability to create tunnels through the land. Creating a tunnel requires you to put a path into a flat bit of wall. So first you need to build up a flat block which is going to form your tunnel area. You have to build the area at least one block either side sider than your path will be, otherwise the tunnel sides will become open.
Now when you you go to add a piece of path, it appears much like an elevated piece would, only inside the block you've built.
You can now keep on building the tunnel in the same way you would elevated walkways.
Make sure that you're careful, otherwise you'll end up pasting paths onto the top of the mound. You have to make sure that there is an arrow pointing away from the last bit of path like above.
Here you can see the path from the other side as it comes out. The path hasn't quite joined due to the levels being a bit different. That's easily sorted by using the 'snap to edge' utility.
To make the tunnel section fit in, I raised the land all over the top. Then I used the 'snap to edge' tool to smooth it all out.
Unfortunately, it's hard to get the edging looking perfect. Some of the entrances help to soften it a little though, and add some extra eye candy to the area. The far side has a different entrance to suit the theme we'll be having on the other side of the tunnel.
You can see here that the concrete surround works better, but it doesn't really fit with the 'Western Mine' theme the other side requires. It will be fine for the Sci-Fi side.
When you look from a distance, you can see how naturally the tunnel fits into the whole area.
The example park can be downloaded here