DPP Users: What I just found:

In my blissful ignorence I've managed to miss this, although I have been using DPP 2.0 for over a month. If you like the Picture Styles, Canon has available for download three more in addition to the six hardwired into the application. As Canon admits, they are of somewhat limited use: "Twilight" adds a ton of magenta and "Clear" (apparently supposed to act like a haze filter) is horribly contrasty and can block up shadows. But "Nostalgia" might be useful. I hope that a future update of DPP will allow the saving of custom Style files just as you can do in the 1Dn and the 5D.
http://web.canon.jp/Im​aging/picturestyle/

Now what I'd really like to see from Canon is a way to create and save our own picture styles.

As a matter of fact, now that I've thought about it I realize that you can. You can already create and save *.vrd files which record all the new settings made. Picture Style files (*.pse) are changes to hue, saturation, contrast and sharpness. If you find your own favorite settings for these four parameters (I'd use the "Tune" color wheel instead of or together with the hue and saturation sliders) but leave "Brightness" (exposure), WB and Levels at their default values, and save it as a .vrd, you have, in effect, a custom Picture Style.
Elie

That's a good point and a good work-around. But it still would be nice to have your own custom style as a pick from the Styles dropdown list.