You will have to add images to almost every game you will write (except for the most simple games, like the ping-pong I made). Therefore, it is important to know about the different types of images.
When you save an image with your image manipulation program, you probably get a file that can not be displayed
with Java and other programming languages (for example, by default, my program GIMP produces unusable in Java .xcf files).
Java can read JPEG, GIF, PNG and some other file formats, so save your images as one of those files. In this article I will
discuss those three types.

JPEG

This format is used on the web to display photographs, because it has a good algorithm for gradation. However, it
poorly displays contrast colors, so that text and diagrams will look bad. Also, JPEG has no support of transparency
at all, so I usually use JPEGS only to display background images, or images that are rectangular.

GIF

GIF, unlike JPEG, shows contrasting colors well, so it can be used to display images with text or diagrams. However, it
supports only a limited number of colors, so photographs or images with color gradation will display poorly. GIF
supports transparency, but does not support partial transparency: that is, a pixel can be either completely transparent or
completely opaque. This is not problematic for most games, but if you want ghosts in you game (or other things that are
partially transparent), GIF is unsuitable. Another problem with GIF, is that it is was patented, but it seems that the patent
already expired - I am not sure about that, though.

PNG

PNG is like GIF, only better. It can show more colors, has partial transparency, and is not patented. Some older graphic programs
do not yet support PNG, however.

BMP

The BMP format is quite straightforward: it stores without any compression a two-dimensional array of pixels (it does not store color information in each pixel but instead has a color pallete, with each pixel pointing to it's color in the pallete). Because it uses no compresion, BMP files are very big, so I do not recommend to use them, except for one case: when drawing maps of levels in your game. Microsoft Visual Studio includes in it's resource manager an inbuilt bitmap editor, and that's very useful to draw bitmaps for the outlay of your levels.

Compression

Most serious graphics programs let you choose how much you want to compress your image. It is a trade off between
image quality and loading times. Choose the highest compression rate that displays your image reasonably, especially
if you want to post your game in the internet, where loading times and bandwidth capacity are important.

Conclusion

To have images in your Java program, use JPEG for backgrounds, and PNG for other images. Play with the compresion options
to choose the right compresion ratio that will keep the image size small but still have reasonable quality.