One of the sample excerpt texts that came pre-loaded on the Reader contains pictures -- the Audobon text, I think. And the ones I have downloaded from Connect so far at least have cover art.
If you're trying to figure out whether BBeB format supports in-line pix, it does.
That's one of the reasons that we'd like Sony to release the full specs for the format, so that we can really make fully functional LRF's of our own, as it does seem to be a fairly versatile format, for all its proprietariness.