An increasingly common spammer tactic is to link images in messages instead of attaching them (this is sometimes referred to as “HTML email”). The URLs for these images can contain unique email address variables for each victim on the spammer’s list, which means that when you click the message to load its contents (including the images), the spammer’s servers confirm that your address is valid for spam and selling to more spammers.
An easy way to help keep your email off these lists and cut down on the spam onslaught is to disable the automatic loading of remote images. Like Mail’s desktop version, you can toggle this feature under Settings > Mail, Contacts, Calendars.
I’m not sure how long this feature has existed in iPhone OS. I’m almost positive it wasn’t in 1.x, and almost as sure that it wasn’t in 2.x either. I’ll be happy to update if you can confirm otherwise in the comments.
Unfortunately, and unlike its desktop counterpart, Mobile Mail does not display a button in messages to load remote images when this feature is off. You’re just stuck with a message full of white outlined boxes and blue question mark warnings where the images should be. Still, this can be useful if you are on the spam offensive, especially because Mail can flip through messages individually and will blindly load everything in an HTML message without prompting.