WmW uses some cross-domain GIFs as icons. I just started surfing with K-Meleon, a stripped-down Netscape-like browser. There's a configuration option that allows you to avoid loading any off-site GIFs.
It's great for lots of sites, as you're able to skip about half of the ads this way. But on your own site, it's probably something to avoid when possible. Without the icons, there's not much to click on.
I have no idea if other browsers offer this option, but I suspect it will become more popular in the future as ad density increases.
The new P3P privacy standards are being incorporated into the newest browsers now... while it doesn't specifically block offsite GIFs, you can get into a tangle with third-party cookies and offsite files in general.
Generally, I prefer hosting as much of my site on my servers as possible (which is 100% in most cases). Not only do you avoid problems like those already mentioned, but if something goes wrong, you know exactly where to look to fix it.