I have the exact same problem
For some reason, in my 3G iphone, after setting the wallpaper for the lock screen it remains black. When I restart the phone I get to see the wallpaper for the first time, but after unlocking and lock the phone again - the background is black again! 😡
P.S.
I tried to jailbreak the phone after I saw this, and now I can set the home screen background but the lock screen background remains black. 😱
Could not find any info on this yet. If anyone knows how to fix this (maybe this is an apple bug) please let us know.