As you don't give any example, we need to guess. I doubt it's for "stopping themselves" for the call dialog like Amit suggests (as a background "live wallpaper", they don't need to do that specially for call dialogs: either they generally need it for any dialog, or not at all). I rather suspect some ad module behind this (see my answer here for details). For ad modules, the combination of
READ_PHONE_STATE are quite usual: the former to retrieve the advertisement material, and the latter to access your IMEI for identification (good cop: to know which ads you've already seen so they are not repeated too often; bad cop: to get IMEI, IMSI, your phone number, phone numbers you've been in contact with -- so a profile can be built).
Note that the developer of the app (or live wallpaper in your case) has no control at all what those ad modules do. All he can do is to take care to chose a "good one", and avoid the "more malicious" ad modules.