You can use Terminal in combination with AppleScript to set/change the wallpaper on your Mac. While not immediately obvious when you would need this, it might come in handy for automation purposes.
Open a Terminal and run the following command:
osascript -e 'tell application "Finder" to set desktop wallpaper to POSIX file "/path/to/file.jpg"'
Replace /path/to/file.jpg with the full path of the file you want to use. All common formats (JPG, PNG, etc.) are supported.