Your Screensaver System Preference sounds like it's set to pull pictures from your Pictures folder, so you should be able to go there in the Finder and remove the appropriate pictures.
I got a new iMac27" and MacOSX 10.6.3 and played a little with the camera using PhotoBoth and took some pictures of myself. (Not very flattering!)
Suddenly those pictures appeared as screen savers and I can't get rid of them. Has anyone some ideas what to do to remove them from the screen savers?