Replacing graphics goes pretty far.
Every level gets its own subfolder, e.g. Dungeon1, and in there you can put image files with the same name as object sprites or background tiles to override them just for that one level. If you put the graphics in the episode's main folder, the graphic is replaced in all levels.
By making .txt files named after object sprites, you can replace some aspects of their behavior too. You can for example change the SMB2 enemies to die when jumped on as usual by changing a few booleans, or you can (together with changing graphics) turn a Sparky into an Urchin by also changing the object, graphic size and the object speed. The fanciest thing I've seen so far was a Rex that was replaced by a Wiggler so that when you jumped on the "Rex", it transformed into a red Wiggler, moved faster and couldn't be jumped on anymore.
It's still very limited but some nifty things are possible.
EDIT: And whoever said SMBX is dead is being pretty pessimistic. Yes there won't be any new versions, but the engine is still one of the best and it's still very possible to make new playable levels for it. The forums aren't dead: http://knuckles96.prophpbb.com/
YoshisIsland is working on "New SMBX", but I doubt that will get anywhere. Instead of saying SMBX is dead, I'd rather hear SMBX is "final" :V