I used John's Background Switcher for a long time, and it's pretty great...for one screen. One feature it had was keeping track of the previous wallpaper, which made it easier to open if the wallpaper happens to change while you are trying to open it. It doesn't happen often, but it happens.
Display Fusion already keeps the last few cached (which it cleans up), so I figure just keeping the url for it and not deleting it until it's 2 images behind would be fairly easy. It's low priority, but it'd be nice.
Here's a basic mockup: