MarkOly - 4:05 pm on May 20, 2013 (gmt 0)
I've wondered the same thing, more in terms of how link juice flows to html images vs css images. I've read that link juice flows to images, so it's a good idea to make sure your images link to internal pages (when feasible). Does link juice flow to css images as well? My guess is 'no', because css images are typically structural, part of the layout or navigation.
The approach I decided to take is to stick with css images on structural images. Then on images that are part of actual content, stick with html images - but link them internally if it makes sense to. Where it doesn't make sense, ie. you want the user to remain on the current page, I've seen a few sites that will link to the current page. That makes some sense to me - at least the link juice is going somewhere onsite, subject to the 85% decay factor, instead of evaporating. I haven't had the guts to do this though, out of fear of being penalized for over-optimization, plus it may confuse the user.