It seems that the default installation of xfce4 on Debian Lenny does not start the xscreensaver daemon by default. After looking here and there (mostly in Ubuntu forums) and reading the X startup scripts, I resolved the problem by simply creating $HOME/.xsession as follows:
#!/bin/bash (sleep 5; /usr/bin/xscreensaver -no-splash) & /usr/bin/startxfce4 /usr/bin/xscreensaver-command -exit
PS: I use xdm
Managing organized complexity 