Take a look at the Sparkfun Library for the TLC5940, it's available on Github.
You can see how they setup the timers there, it's actually pretty easy.
Also, the lack of an internal oscillator is a feature rather than a nuisance: It allows you to multiplex a matrix of LEDs by chaining e.g. a single HC595 with the TLC and then syncing XLAT and Blank to switch planes.
OR you could artificially lower the PWM resolution in exchange for a higher PWM frequency.
These are just two examples, I'm sure people could come up with more...
The 5940 may be a bit more difficult to set up than e.g. the 5947, but you get a lot more versatility in turn.