Tried dragging to both TextEdit and Mail. Looks like the web page source is passed instead of the image.
Tested with http://www.google.com/intl/en_ALL/images/logo.gif just for kicks. While I could reproduce Ander's results with TextEdit and Mail, dragging a standalone image to Finder results in the image being copied to the target Folder as expected
<rdar://problem/5223782> REGRESSION: Can't drag and drop a standalone image
Landed r21678