Quick tip for Ubuntu 14.04 users: Unity got its own lockscreen a while back and it's used by default but if for some reason you want to switch back to LightDM for screen locking, here's how to do it.
To switch between LightDM and Unity for screen locking, firstly install CompizConfig Settings Manager (CCSM):
sudo apt-get install compizconfig-settings-manager
Then open CompizConfig Settings Manager, click on Ubuntu Unity Plugin and on the General tab, under "Lockscreen", you can select to use Unity, LightDM or no lockscreen:
That's it - there's no need to restart the system or log out, the settings should be applied instantly.