You won't find settings to do that for gkrellm, as it doesn't use window decorations. It's completely theme/skin based. To chance its appearance, just get a new theme. You can find them at http://www.muhri.net/gkrellm/
, or just install them via yum:
# yum install gkrellm-themes
For your terminal, check its man-page. They often have a built-in option to remove the window decorations at execution time.
And as for removing actual window decorations on other apps, try right-clicking on the window bar of the application. There should
be an option to do this, but one thing I found about gnome that I really didn't like, was the fact that it was much harder, in comparison to desktop environments like KDE, to customize to your liking...