Spoken like someone who never got a large and surprising bandwidth bill because some jerk linked to a high value graphic on his site and then blogspammed every forum on the web to promote "his" content.
The ability to effectively DOS anyone's site in this way, not to mention presenting their content as your own without technically infringing copyright (or so the Ninth Circuit seem to feel in the US, though courts in other jurisdictions have differed) is a genuine and, for the unfortunate victim, potentially very expensive problem with the current state of the web. Doing this has always been bad netiquette, but these days even Google do it, and indeed used the fact that they were doing it in their defence in one of the aforementioned copyright cases.
You can responsibly link to an image on someone else's server without embedding it directly on your site. The web is no longer just hypertext, and the potential inequity in resources and scalability between servers matters. Why should I be expected to suffer and pay for anyone who decides they like a particular image on my site and want to use it in their forum avi? They can just as easily copy it locally and use it.
