Those are usually included in different themes. I havent really came across a way to change it without a new theme. I do know that "Widget Locker" lets you customize the lock screen but I dont have much experience with that so I dont know its capabilities.

 

Pretty sure you can only change that by a theme change. For custom you can create your own... here is a guide to creating a theme.

 

Ilock 2.0 is sweet

 

You can quickly and easily use metamorph to change the lock sliders. Download the free version from the market, find a lock style you like, copy the files over and apply the morph. Done.

(Fabulous has some metamorph files posted in the root section FYI).