Both the List and Custom display options use theme functions, theme_term_display_list and theme_term_display_custom respectively.
The Load display option places data into the $node object, from which your theme can retrieve it, format it, and place it anywhere in the node template.
The format is as follows:
[term_display] => Array
 => Array // the vocabulary ID
[vocabulary_name] => // the vocabulary name, run through a check_plain
[terms] => Array // an array of terms, in the same format as the $node->taxonomy array.
The array of terms is an array of objects, each keyed by its term id (tid):
[taxonomy] => Array
 => stdClass Object
[tid] => 56
[vid] => 2
[name] => NAME
[weight] => 0
See below for examples of what can be done with this.
The following examples of code should go in your theme's template.php, in either _phptemplate_variables()'s node case (Drupal 5) or theme_preprocess_node (Drupal 6). These will add an extra variable to be used in your node.tpl file.