Video Live Wallpaper
This is a blank live wallpaper that allows you to set your own video as a live wallpaper animation! Lots of codecs and formats are supported.
You need to have your own video (preferably in MPEG-1 or MPEG-2 or divx) and set it in the Live Wallpaper's preferences. You can also set an entire folder (and optionally all its subfolders) and the Live Wallpaper will choose between all videos inside (randomly or not, your choice).
If you don't have any videos to play with, try this one or this one or this one. Download them with your computer (right-click them and select Save as...) and transfer them on your Android device, or downoad with the Android device directly (a common download destination is /sdcard/download). Then select one of them with the Video Live Wallpaper.
The preferences of the Video Live Wallpaper include Help which should help you get started with making your video(s) as live-wallpaper-friendly as possible. A copy of the same help document can also be accessed from here if you want.