I wrote a quick Python script to build and preview my site with each theme in the hugoThemes repository. I even sort of blogged about it. The code to accomplish the task is in the blog post.
If you mainly want to see the animated GIF produced by the experiment, that is here.
Although most themes are intended for blogs, some are focused on portfolio and business sites. This is a good thing. I think making non-blog sites in Jekyll is a hassle at best.
But it does help understand why sometimes the site renders as an attractive blank space. Your next step would probably be the theme documentation.
Some themes require some more setup, because their structure is more complex or they rely on metadata, such as descriptions, screenshots etc. for projects in a portfolio.
The following steps are usually documented in the README, as you assumed correctly.
That expresses the thought more clearly than my late night ramblings. Thanks!