This is what John Owen said in his post in Web Media Magazine : http://www.webmediamagazine.com/webdesign/50-different-ways-to-vastly-improve-your-wordpress-blog/
Usually the sidebar is clogged up with meta data, advertisement’s and tag clouds. We sometimes miss the categories in all the mess, assigning images to your categorys is a great way to fix this and will help your visitors navigate your blog with ease.
This is what John Pratt said in his post in WPHacks : http://wphacks.com/10-ways-to-improve-navigation-in-wordpress/
Having your categories a post is assigned to listed and linked is a great way to get visitors to view everything else you have posted in that category, but sometimes (like “ad blindness) readers are blinded to post meta info. Solve that by assigning images to your categories, so that they stand out prominently! All you need is the Category Icons plugin.
And I agree. 