Saw this today in Apartment Therapy, through Do It Yourself: A curtain rod made with a real tree branch.
The trick is to find a really great looking branch and also for it to be the right size for the door/window. Then it has to be pruned properly, but not completely, so that it will be dramatic enough. When you are satisfied with the final shape, spray-paint it in a contrasting colour to your wall, but matching with curtains and/or window trim. Use brackets to hang it to the wall, and paint them with the same colour. The best type of curtain for this is a top-tying one. Of course you have to put this in a window/door that does not open much. Also have in mind that the curtain will have minimum movement.