It depends on what sort of display your phone has:
* AMOLED use least power when displaying a black image because they turn the LEDs off to make dark pixels, and conversely use most power when displaying white. So if you have an OLED display then you can save some power by using a black wallpaper or dark theme.
* LCD have a backlight and then pass light through different coloured filters to make up the image. So actually it makes little to no difference what your wallpaper is with an LCD - the backlight is on anyway, and that's the main drain.
How much time does your phone spend with the display on and showing the wallpaper though? Because that's the only time it will make any difference.
Live wallpapers are different: they are actually apps which are having to use the cpu to perform calculations in order to animate the background, so they will use more power than any static wallpaper.