Via Alex Lowe, I found this post from Leon at DotNetJunkies about a bug with static resource caching problems. Microsoft has a solution, but it's not widely available - you have to call to get it.
If you are running IIS 6, it would be a good idea to take a look at this. There's no reason that static resources (such as images) shouldn't be cached - it'll help with bandwidth and end user experience.