I spent some time with it in the AT&T store and could not find the ESPN live wallpaper. The only ones in the lock screen list were Bing and CNN(after i installed it).
There are two different ESPN apps, the nokia one which looks better, but has very limited functionality, and the normal ESPN one, which is basically a metro-ised version of the iphone/android app.
With the normal ESPN one, I was able to pin the specific team tiles to the home screen, but neither they nor the main live tile ever did anything dynamic, even when i added some teams that were playing games at the time. One setting I did see was that it let you pick 1 team to be on the main live tile.
That worries me, because I'm a fan of teams in NHL, MLB, NFL, and MLS, and the only month where there isn't an overlap is February. I'd want the live wallpaper to show me the most relevant game based on my favorites list, and ideally be able to show me multiple games if they are occurring at the same time.
This could be a selling point to sports fans, but the details are few and far between.