There is an interesting article at snook.ca looking at
adding an image to an rss feed. RSS feed aggregators tend to strip away the branding you would find on a website to the point where it can be hard knowing where posts are coming from.
The post looks at two ways to maintain some of the branding, a favicon, and then in more detail, an image. Adding images to both Atom and RSS feeds is covered in detail.
Overall a must read for anyone whose audience makes significant use of RSS feeds.