Whats the best way to customize application.master Master Page without going into the "Microsoft's Unsupported Environment" state?
I have a blog post from a few years ago explaining how to create a httpmodule that sets your normal masterpage to be the one for the application pages. You can check it out here: http://www.thelineberrys.com/default-category/using-your-sharepoint-sites-master-page-on-all-application-pages-3.html. This is a supported scenerio.
The above reply would be the best approach if you are truly looking to modify the master and need an overhaul. Otherwise, if you just did a custom theme this would cascade to the application pages. Unfortunately it usually results in modifying the master. Looks like you have the option for that. :)