In windows, dream aquarium.
In Linux, though only on my laptop, I don't bother witht the desktop one, I use one of Xscreensaver's module called Xanalogtv or something. It basically emulates a tv that's on it's last legs, with your screen fuzzing out and rolling and so on, looks incredibly believable, freaks the hell out of anyone not prepared for it.
Also had a fondness for the one that just showed crashes from all manner of computers....BSOD, Guru Meditation, SadMac,TOSBombs, the whole lot. BUT the kernel panic one caught me out and made me do a double take a few times, so it had to go.
For a while I ran Xscreensaver as the desktop background (how clever of MS to nick that for vista), with a screensaver that just read out the output of endless "fortune" commands in a pretty convincing emulation of a VERY ancient greenscreen CRT.