Looks familiar with the email below? Yes, this is one of the emails caught by Gmail filter. Ok, if you happen to receive spam emails with image inserted (it looks like the image below), do not open them. Why?? See the explanation below.

Why you can’t
According to Wikipedia –
Web bugs are used by e-mail marketers, spammers, Cyberstalkers and phishers, to verify that e-mail addresses are valid, that the content of e-mails has made it past the spam filters, and that the e-mail is actually viewed by users. When the user reads the e-mail, the e-mail client requests the image, letting the sender know that the e-mail address is valid and that e-mail was viewed. The e-mail need not contain an advertisement or anything else related to the commercial activity of the spammer. This makes detection of such e-mails harder for mail filters and users.
So if you have opened this kind of email before, the sender will know that your email is valid, and that you’ve been reading his email. So he knows that you’re one of his ‘loyal readers’, and you’ll get a higher chance to receive this email again in near future.
Don’t worry too much, if you’re using email client such as MS Outlook or online email client such as Yahoo Mail or Google Gmail, this shouldn’t be a big problem, since the embedded URL or images will not be downloaded automatically. BUT, the spam filter does not really work properly, yeah nothing is perfect in this world. How to identify your email client is protecting you well??? Btw, I’m only covering on email clients that I frequently use.
Yahoo Mail
By default, the settings should be there. However, it seems that Yahoo Spam filter does not work well sometimes (worse than Gmail). To modify it,
1. From your top right menu, click ‘Option’ -> ‘mail option’
2. On your left bar menu, choose ‘Spam’ It will display menu like below. Choose them according to your needs

Gmail
I don’t see this setting on Gmail Setting menu. By default Gmail won’t display images, and there are options for each emails on whether to download the images or not (I’m sure you’re familiar with this).

MS Outlook
By default, the setting works fine. You’ll see this message below on each email containing images

To edit the settings, from the top menu bar, choose ‘Tools’ – ‘Option’ – ‘Security’ tab – ‘Change Automatic Download Settings

Finally, don’t let your email crowded by spam emails.
update 18-Jan-2008
Yahoo Mail has updated their anti spam filter