If you jailbreak your Kindle, you are able to set it up with your own screen savers. There are plenty that you can download from the internet for free. Or you can quite easily make your own using a graphics application. Paint is perfectly sufficient for our purposes.
Until the Kindle 4 is released, we do not have the option of loading color images onto our Kindles.
How to Jailbreak your Kindle
The most comprehensive guide that I have found online is available at How-To Geek. All that you have to do is download the jailbreak hack to your computer then load it on to your Kindle reader. I will soon be creating a video tutorial to illustrate the techinque.
Free Kindle Screensavers
Here are details of some of the best sites that I have found offering downloadable Kindle wallpapers.