The rule of thumb is that if your work is recognizable as containing copyrighted material then you can't use it. It's easy to distinguish the slipknot photo which is copyrighted, so it's a breach of copyright really to do anything with the image besides use it yourself. The problem arises when you post the image for other people, as you don't have the rights to distribute it - there's nothing they can do about you making wallpapers from these types of images, but for your own private use.
To make an image your own, it has to be unrecognizable as the original work - so if you find a photo you want to use, you have to use it as a base only. I often grab photo's and stuff from all over the place (except commercial games) to use when texturing objects, but they tend to be non-copyright, or at least a relaxed copyright. If I grab a photo and cut out a piece to make a seamless texture from it, then I can claim ownership if it's different enough from the original - which it is after all the editing needed to make it seamless.
We have had an issue before, years ago mind you, but we got a cease and remove order for some screenshots someone posted - copyright holders have found the forum before so this is for your own protection.
I'm not saying you should remove the wallpapers, I'm saying that next time we will have to start removing images that are copyright 'dodgy' - there is no issue at all with the nebula wallpaper, or any wallpaper you make from scratch yourself. Personally I think the nebula one is much better than the slipknot one - as I said we are all for people posting their artwork (as long as they can take critisism, it should all be fine).