Live wallpapers are applications, so most will be on the market. To create your own you would have to create an app.
Some allow you to put your own static picture underneath the live wallpaper and modify the look of things in other ways via settings.
There are others you can find on various forums, these tend to be modified versions of stock LWPs that may require you to be rooted. Some also are made for specific devices that may not work on other devices.