Posts or pages can have a featured image. The featured image will be displayed before the title on the archive and single pages. Some themes will use the featured image in widgets and other applications. To set a featured image, edit the page or post concerned, locate the Featured Image meta box in the right column, click Set featured image and use the media uploader to browse or upload a new image.
For more on featured images, please see: http://en.support.wordpress.com/featured-images/