Facebook (and other social media sites) look for specific meta tags in a page to generate a thumbnail to put next to links that are referenced to in wall posts.
For instance, the image_src property can be used to link to an image. I think it is useful to set this to the right property when using gallery images (ie, the first gallery image). However, I've got no clue on how to do this.
Open Graph can also be quite useful, see http://stackoverflow.com/questions/1079599/facebook-post-link-image.