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So, are there any other similar gotchas I should be aware of when hand-coding my blog entries?
Or, looking at it from the other side, are there compelling advantages to doing it 'the Wordpress way' and putting the images into the WP database?
If I could generalize that to script, even css, you have to "hand-code", at least at some point. One can begin a new site by hand-coding. Then goes on the styles, then the behavior, the script. But unless it's a very simple site, I would imagine the coding is inescapable. Now, at some point, you wouldn't actually code the pages, but would code the templates used to generate those pages.
This is not a Wordpress gotcha, but an RSS gotcha, which makes sense - what meaning would a relative URL have when it's in someone's RSS reader? How can software know whether your relative URL is relative to root or the current page? So you need absolute URLs in RSS.