I had this happen to me recently and I was using Firefox 3.0.9-10. Basically, every time I logged into Gmail, I would have to click the link to 'Always display images' for every email with an image. The setting wouldn't stick between sessions. I found that I had to clear the cache and cookies of the browser, then log into Gmail and click the link for each address. It now sticks between sessions.

1. Tools→Options→Privacy→Clear Now (Make sure 'Ask me before clearing private data' is checked)
2. Check Cache and Cookies
3. Click the 'Clear private data now' button

– Main.FredPettis - 22 May 2009