I'm actually on WordPress 3.1, which wasn't an option to select in the above drop down.
Before 3.1 when I tried sharing a blog post with Facebook, my thumbnail image of the post would appear. But now this no longer happens. It is not an option to select "show thumbnail". I looked to see if it is a problem with Facebook, but it isn't a problem. When I share posts to FB through Digg, the thumbnails appear.