Thanks for the help iloveiphones but I guess I wasn't being specific. I meant having my own wallpaper instead of the ones on the phone. I should of made myself a little bit more clearer haha.
Ok I get what your saying. Well it's pretty much the same the last couple of steps. Well there are two ways...
1.Create a new folder on your computer (maybe call it iPhone wallpapers), hook up your iPhone and iTunes should pop up , it should show your iPhone like this:
http://macsolvers.files.wordpress.com/2008/01/itunes_iphone_sync_window2.jpg
Click on the photos tab. Choose the folder you created. Then click all photos. Then go back to the first tab that says SUMMARY and click SYNC.
Now disconnect your iPhone. Go the the home screen click SETTINGS. Then click WALLPAPER and select the pictures you created. Click SET WALLPAPER on your desired picture. And Boom there it is.
or... another easy way is send the picture you want as your wallpaper to yourself. Open it in the by click the MAIL icon (icon with envelope) open your email and it should show the attachments. Click the arrow icon at the bottom of your screen. It should say SAVE IMAGES. Save them then go to your home screen, click SETTINGS, WALLPAPER, click the picture you want, and set as your wallpaper.
Hope this helps