In Jaguar, Apple provides you with an easy to use .slideSaver maker. It resides in /Library -> Image Capture -> Scripts -> Build Slide Show. Drop a folder containing the desired images onto the script and .... you're done!
The slide show is saved directly into your ~/Library -> Screen Savers folder. You can use the Finder to change the name from the default "Recent Photos.slideSaver" to anything you want.
[Editor's note: This is, by far, the easiest way I've seen to create a customized, permanent slideshow, supplanting the methods discussed in previous hints (1, 2). Neat hint!]
Mac OS X Hints
http://hints.macworld.com/article.php?story=2003011506221937