Basically, since we're all locking our phones, you want a wallpaper that contains contact information, in case it's lost. Is there such a wallpaper for Android?
Android OS versions 3.x and above (Honeycomb, Ice Cream Sandwich) actually have a setting that allows you to specify "Owner info" text that will show up when the device is locked.
There are also many 3rd-party locks-creen replacement apps that allow for much greater configuration flexibility than the stock one, including the ability to specify any text on the locks-creen. Take a look at WidgetLocker or Go Locker, for example.
For the "unlocked" state, you can always modify an image to include the "if found..." text, copy it onto the device's SD Card (or internal storage area), and set that as the wallpaper. You can use one of the myriad of free image editing software (e.g. Paint.NET) to add the text.
Contact Owner worked for me.
Give your Android a chance to call home!
Display your contact information when the device is locked, allowing the finder to contact you. Select yourself (or a friend) from your list of contacts, then select which information you want shown.
To expand on Chahk's answer: go to the Settings app, and from the Personal section, choose Security (on a Samsung phone, choose Lock screen instead). Then tap Owner info, and enter your name, room number, phone number (though not of the same phone, obviously), or whatever.
I found this a bit limiting, especially for working in a big office, so I wrote a lock screen widget to also display your profile photo (the one that shows up with your name in the quick-access menu). This means that if someone picks your phone up while you're still nearby (say, after a meeting, or at a party), they can give it straight to you, rather than having to phone your landline or email you later.
I made it free to download, with no ads, because it's a really simple app: I have no financial interest in promoting it here. It needs 4.1-jelly-bean or later because that's the first version to support lock screen widgets.