I wrote this little script which would download the latest XKCD comic and put it centred onto your GNOME Wallpaper.
It screenscraps the latest XKCD homepage and looks for the image URL, it then downloads it to /tmp and uses gconftool-2 to set it as your background.
Try it out and lemme know if you like it.
I have put a cron like
0 15 * * mon,wed,fri /path/to/xkcd.py
That will update my wallpaper at 3 p.m every Monday, Wednesday and Friday.
* Would like to make it Desktop independent.
* Would like to have the mouseover text below the comic.
Thanks to andy(see comments) this script uses JSON to get the data, and avoid screenscraping.