In XP you can set a web page as your desktop (active desktop) - I guess you could just create a webpage slideshow to do it. I've also seen a couple of apps that automatically change wallpapers with selectable transition effects.
Not off the top of my head. I used to have one. I almost want tho think Microsoft has a free one you can download. Might be part of a "pack" like the winter fun pack or something though.