Follow the steps below to set your Mac OS X Screen Saver

From Your Desktop

 From your Mac desktop, either <CTRL> + Click or Right Click and select "Change Desktop Background".  This may not seem like the right place, but it is.

From System Preferences

You can also change your screen saver by starting the Systems Preferences application and choosing the Desktop & Screen Saver panel

The System Preferences application will start and launch the Desktop & Screen Saver panel.  Your Mac comes with some pretty standard screen savers from Apple and these are listed at the top.  If you want to set your screen saver to display your pictures, scroll down.  To Display ALL your pictures in your iPhoto Library along with any other pictures in your Pictures folder, simply select the Pictures folder as shown below.  To select a single iPhoto event or slideshow, simply select the listed event, etc.

Your Mac can display your pictures in the screen saver three ways; one picture at a time, several pictures built into a collage, or your Mac can use your pictures to craft photo mosaics (pretty cool if you have a lot of pictures).

To set the screen saver for a single picture, select the left button for Display Style.

To set the screen saver to display a collage, select the middle button for Display Style.

To set the screen saver to display a photo mosaic, select the right button for Display Style.

Tip for using the Photo Mosaic screen saver:   This presentation format works best when you have a lot of pictures (> 1000).  First select the mosaic Display Style.  Your Mac will build up a mosaic database of your pictures and the Preview will display pictures of flags.  Once your mosaic database is built, you can choose a group of pictures (from an iPhoto event or slideshow and then pick the Mosaic Display Style and your screen saver will build photo mosaics of the pictures you selected.

There are other options that you can choose under the Options button.

Related HOWTOs:
List of Mac OS X HowTo Guides
How to set your Wallpaper in Mac OS X
HowTo Set your Mac OS X Screen Saver to display your Flickr Photostream