martinje said screen savers, not wallpapers... There is already another thread for wallpaper.
I'm not sure where to get screen savers, but if you don't already know, be very careful when searching for screen savers. Many screen saver sites require installing something, or they give you the screen saver in the form of an .exe file - do NOT run it! It is surely spyware, because screensavers are in .scr form.
Of course, .scr files are actually just .exe files as well, and so they might even contain spyware or viruses. I am not totally sure about what sort of restrictions Windows might place on the scr files, but I don't actually think there are any. For an example, copy the command prompt (cmd.exe) into your C:\WINDOWS folder and rename it cmd.scr, and then set it as your screen saver through the normal screen saver menu. Wait a few minutes, and voila - a working command prompt window. In fact, even in the screen saver configuration window (the Display properties window actually), when it attempts to preview the cmd "screen saver", it pops up a command prompt.
Anyway, long story short, screen savers have an amazing potential for viruses and spyware, both in the installation files found at most screen saver sites and in the actual .scr files. I would suggest looking for open source screen savers (if such exist) or just being content with the default Windows screen savers. Keep in mind that if you do get a new screen saver, you are taking the same risk, if not higher, at getting a virus or spyware, and your anti-virus or anti-spyware program might not detect it.