You can change the wallpaper by selecting a picture that you like. If it doesn't quite fit, you can choose how to crop it. The lock screen will show the new wallpaper and information that might be important to you, like the time and date, or missed phone calls and new voice mail messages, text messages, alarms, appointments, or emails.
When you're listening to music, you can also have your phone show the artist who's currently playing on your lock screen.
If you turn your phone off and then back on, you can see the new wallpaper right away.
For more tips, go to: http://www.microsoft.com/windowsphone/en-us/howto/wp7/basics/lock-screens-faq.aspx