It's called bandwidth theft. It's like tapping into somebody's phone line to make long distance calls, or shoplifting merchandise. Some sites are fighting back by placing big 'theft' signs in place of the pictures so that everybody knows who stole the picture.

When you want to post a picture off the web, first download it to your own computer and then upload it to your own server and link to it from there.
That way every time somebody looks at it, it costs you money instead of the original person.