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I think there's really only one way - iTunes.

Well, I think dropbox will work and then there's iDisk.
 
Open up iTunes and select Photos. Sync what you want.

Edit: On a Mac, I use iPhoto for this. As for Windows, I have no idea.
 
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For any picture you see on Mobile Safari, you can simply tap and hold the pic and a menu will come up. It will ask if you want to save the picture. ;)
 
if i am surfing the web on my mac and i see a picture i want on my iphone, i just save it to my dropbox folder, and then open the drop box app on my iphone and download it from there,

that way i have it on my mac, ipad, and iphone if i want it.
 
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