/wordpress/wp-admin/link-add.php there is the possibility to add an image to a link, but it belongs to the category “Advanced” and is really a little too advanced for an average user, which needs first to upload an image somehow and only then to add the URL of the image to a link.
Maybe there exists a plugin which simplifies adding an image to a link?
Well, started as a curiosity, ended up doing a plugin…
After finishing, I went to look in WordPress repository and…yes, there’s already one that does it:
Easy Blogroll Image
At least, I took a different approach and did something different.
Featured Link Image – [edit: released in the WordPress repository, link updated]