This is a very basic tip, but one i have been using often since the release of the Safari 3 public beta.

Instead of navigating to System Prefrences, or control-clicking on the Desktop to bring up the desktop image menu, simply drag the image you want to use as a desktop image onto the Safari 3 icon. When the image opens, control-click on it and select Use Image as Desktop Picture from the pop-up menu. I find Safari a lot quicker to load, and I find that this makes for a very quick way to change your desktop.