Unity supported the creation of Android Live Wallpapers until version 4.0.1. So, for Unity versions 3.4.2 to 4.0.1, the creation of LWPs was easy through the use of 3rd party plugins available at the app store. However, for some unknown reasons, Unity removed certain libraries necessary for the creation of Live Wallpapers, so, it's impossible to create them any more with Unity's current versions. We are forced to use older versions of Unity, which restricts enormously the capabilities. e.g. support of substances for mobile (available from Unity 4.1), and assets available at the asset store that don't support older Unity versions (shaders, FX etc).
Please reinstate the support for Android Live Wallpapers to current Unity versions!