How can I style an Android Switch?

You can define the drawables that are used for the background, and the switcher part like this:

<Switch
    android:layout_width="wrap_content"
    android:layout_height="wrap_content"
    android:thumb="@drawable/switch_thumb"
    android:track="@drawable/switch_bg" />

Now you need to create a selector that defines the different states for the switcher drawable.
Here the copies from the Android sources:

<selector xmlns:android="http://schemas.android.com/apk/res/android">
    <item android:state_enabled="false" android:drawable="@drawable/switch_thumb_disabled_holo_light" />
    <item android:state_pressed="true"  android:drawable="@drawable/switch_thumb_pressed_holo_light" />
    <item android:state_checked="true"  android:drawable="@drawable/switch_thumb_activated_holo_light" />
    <item                               android:drawable="@drawable/switch_thumb_holo_light" />
</selector>

This defines the thumb drawable, the image that is moved over the background. There are four ninepatch images used for the slider:

The deactivated version (xhdpi version that Android is using)
The pressed slider:
The activated slider (on state):
The default version (off state):

There are also three different states for the background that are defined in the following selector:

<selector xmlns:android="http://schemas.android.com/apk/res/android">
    <item android:state_enabled="false" android:drawable="@drawable/switch_bg_disabled_holo_dark" />
    <item android:state_focused="true"  android:drawable="@drawable/switch_bg_focused_holo_dark" />
    <item                               android:drawable="@drawable/switch_bg_holo_dark" />
</selector>

The deactivated version:
The focused version:
And the default version:

To have a styled switch just create this two selectors, set them to your Switch View and then change the seven images to your desired style.