From the Lake: Georgia O'Keeffe

The Georgia O'Keeffe painting on this page was given a drop shadow using CSS. 

Modern browsers all support drop shadow from CSS, without having to use an image for the shadow. They don't all do it quite the same way, but we can look forward to that when CSS3 is fully supported across all browsers. [Edit - which is now!]

Or when hell freezes over, which may well occur first. 

Here's the CSS:

.dropshadow {
 -moz-box-shadow: 3px 3px 4px #999; /* Firefox */
 -webkit-box-shadow: 3px 3px 4px #999; /* Safari/Chrome */
 box-shadow: 3px 3px 4px #999; /* Opera and other CSS3 supporting browsers */
 -ms-filter: "progid:DXImageTransform.Microsoft.Shadow(Strength=4, Direction=135, Color='#999999')";/* IE 8 */
 : progid:DXImageTransform.Microsoft.Shadow(Strength=4, Direction=135, Color='#999999');/* IE 5.5 - 7 */ 

Now all you have to do is add class="dropshadow" to any image tag that needs a shadow.

Note: Earlier visitors to this page may have seen a much longer explanation involving GIF or PNG files, but all that kerfuffle is no longer needed.