Widget locker worked well when I used it (been a month or so). It was the only one I found that could completely bypass the stock lock-screen. Worth a shot if you really need/want a different (non-stock) lock-screen.
When did you try it last? There is a specific setting you have to select within the app and it will eliminate that prompt to choose a homescreen (you have to tell "android' that widget-locker is your default app, then within widget-locker you select your desired launcher, shouldn't prompt any more after that). Course that was with LauncherPro but it worked great, I'll set it up on my new BB v.6 flash here in a bit and try. Found some now widgets (TouchDown) that would be nice on the lock-screen.
OP have you tried No Lock from the market. I haven't but saw it on another thread a minute ago, several people like it. At least on the X it allows you to completely bypass the lock-screen. Might be worth a shot.