I love how Mac OS X changes the wallpaper automatically. With Windows XP, there is a "Creativity Fun Pack PowerToys Wallpaper Changer":http://www.microsoft.com/downloads/details.aspx?FamilyID=ce1d596b-6851-4948-ab76-b5ff22d37d69&displaylang=en that does the same thing essentially.
Like the Mac one, the main drawback is that it won't search through lots of directories to find lots of wallpapers, so everything has to be in a single folder. Too bad!
Also it doesn't scale correctly if the wall paper isn't quite the right size.