Most desktop messaging clients (Apple's Mail.app and Microsoft's Entourage among them) give users the option to skip loading images when reading rich-formatting emails, which both speeds up the loading/reading process and limits exposure to spammer scavenging, which can leverage embedded images to verify that the evil emails were received by a valid address. The iPhone's version of Mail, however, doesn't give users the option to turn images off, as pointed out by Stefan Seiz.
This has been the case all along and hasn't been corrected in 2.0, unfortunately.
While this exposure is less of a problem if you've got good spam filtering
in place, it does raise an interesting question: wouldn't an optional images-off mode be ideal if you wanted to speed up your iPhone's mail performance, or (perish the thought!) limit your data usage on a less-than-ideal service plan.
Unfortunately I don't think adding features and options to Mail is within the official capacity of third-party devs, so we're going to have to wait for Apple to address this directly.