If Apple was serious about photography, they should get rid of that handful of silly colors (including about *two* useful greys) one can select as full-color desktop background, and instead just give us the whole spectrum to choose from. How hard could that be? They already do it for the background for an image.
In the meantime, there are two solutions for serious photographers: make your own backgrounds in form of a one-color image, make several in the tones and shades of grey you like.
... Or one could get really smart, make a small GIF image, which only consists of transparent pixels. It seems that in order to accomplish that in Photoshop, you have to make two layers, the background one deselected (invisible), and remove everything from the upper one, then save as .gif. Seems one can't remove everything from the background layer, it just takes on the current background color set in PS.
... And then you just set this empty image centered, and set the desktop background to the exact tone you want.
Update: Craniac said:
To make a transparent image in Photoshop simply rename the Background layer by double-clicking the name and changing it to anything other than Background. It then becomes like any other layer and can be transparent. It seems that there is special connotation attached to the lowest level having the name Background.