Some users may ask the question of the benefit of using such tip as long we can do this via the provided Appearance window, so please don't take it so seriously, it's just to broaden your knowledge. There are also some users who might use this tip to create a bash script for changing the desktop background image automatically.
To change the wallpaper of your desktop, open the terminal and run the following command:
gsettings set org.gnome.desktop.background picture-uri file:///image-path
Replace image-path with your own image path. Here is an example:
gsettings set org.gnome.desktop.background picture-uri file:////home/user/Desktop/image.png
Note: Tested under Ubuntu 11.10 Oneiric Ocelot.