Yeah this would be great. I love collecting pictures from around the web. If my iPhone could do this, it will be a lot of fun to do it on the go and not only on my computer.
There currently is this web app that let's you save images from safari called imageMailer 2.0. It uses a javascript bookmark and the email program to basically let you choose a image from a web page and then email it to yourself. Doesn't save it directly to the phone but it's pretty cool. Also lets you mail an original sized image from a google image search results page. It sure beats having to mail the link of the page to yourself for future image harvesting.