It really depends... The main reason isn't what you think...
Whilst it is possible to get malware/security problems from viewing picture, it is not very likely on a modern computer. When you get the option to turn them off, it is usually to stop tracking sites.
For example, if the picture is embbeded in an email, there is usually no harm in displaying it - but, a lot of the time now (especially from some marketing/newsletter scripts), it is possible to put a 1px by 1px image at the bottom of an email that isn't embedded but hosted elsewhere with a url such as
http://mysite.com/some_tracking_script/message.asp?msg=124643, and what this can do is create a database on a server and allow the sender to know when your message has been read.
So, technically, it is possible to get a virus for pictures, but, most of the time, this option is about privacy.