This is an obvious question, but did you look in the Camera Roll? You can access the Camera Roll via the Camera (icon on the lower left), via Photos (it's the first photo album in the list) or via Settings...Wallpaper. When you go to Settings... Wallpaper, at the top will be a folder called Wallpaper, which only contains the wallpaper images that come with the iPhone. I'm not sure how one adds to that folder. Below this will be folders for the Camera Roll first and then any photo albums/folders you've synced to your iPhone.
My current wallpaper image is an image I took with my iPhone. I have not deleted the image from my iPhone yet. It does not appear in the Wallpaper folder even though I am using it as wallpaper. It appears in the Camera Roll folder.
I also use iPhoto on my mac. It's set to launch anytime a camera is plugged into the computer. Thus, whenever I plug in my iPhone, iPhoto wakes up and offers to import the photos to my iPhoto Library. (I then have to ask it to import them - it doesn't do it automatically.) I might change this setting and launch iPhoto myself anytime I want to import new photos.
If your photo no longer appears in the Camera Roll and yet it's still visible as your wallpaper, that suggests there's a copy of the image stored in a hidden folder within the phone. If it were an iPod, I might be able to find it, but I have not learned how to access hidden folders on a iPhone yet. And I'm not someone who's into unlocking or jailbreaking.
At the same time my PC crashed, I had exchanged my iPhone for a new one due to a faulty battery. Thus I was not able to sync the new phone with my old data. Amongst the stuff I lost on my iPhone were a few photos I took. I tried asking in a separate thread if photos are somehow transferred to the pc whenever you sync your iPhone, but I never heard from anyone. If so, I could use my mac to search my pc's harddrive to retrieve the photos. Something tells me they don't come off your iPhone unless you import them into a program like iPhoto, however.