If running from Ubuntu, you can install it from the repos:
sudo apt-get install xscreensaver xscreensaver-data xscreensaver-gl xscreensaver-data-extra xscreensaver-gl-extra unicode-screensaver rss-glx
Then start the daemon with:
Make sure you add xscreensaver -nosplash as a startup item.
You can configure the screen savers by running xscreensaver-demo.
Windows users you may turn to Really Slick screensavers.