The images seen next to comments are known as avatars. They simply associate your comment with an image. These can be created for free using the instructions below.
A gravatar, or globally recognized avatar, is quite simply an avatar image that follows you from website to website appearing beside your name when you comment on gravatar enabled sites(like this one). Avatars help identify your posts on web forums, so why not on weblogs?
Signing up for a gravatar.com account is FREE, and all that's required is your email address. Once you've signed up you can upload your avatar image and soon after you'll start seeing it on gravatar enabled websites including this one!