One of the many options available on the Add an Image menu is the Featured Image (formerly known as Post Thumbnail). This option will only be available if the theme you’re using has enabled it. And, as with the gallery, you have to upload it fresh for it to work with the post. Use the Featured Image module in the right sidebar of your Edit Post screen or the Media Uploader to insert it into your post.
Twenty Ten, the new default theme bundled with WordPress 3.0 and higher, uses the featured image as a custom header for the post you insert it into. It will only show up on the single post view.
Most theme designers won’t implement it this way, but will use it to draw attention to the post on a front page or archive page, to tease you into clicking on the “more” link and reading further.