I saw some old threads on this but have yet to find a fix which works for me.
When I post the link for a new blog post to facebook or anywhere else, the thumbnail shown is the black rectangle with the faint W logo and the text "generating preview" - which never changes.
I have tried deleting the media file and re-attaching. I have also installed the "regenerate thumbnail" plugin and used it on all the files in my media library.
The latest blog post, if you want to try it for yourself can be found here: http://www.simondenman.com/2012/08/12/free-will-writers-muse-balls/
The interesting thing is that this used to work only a few weeks ago, although I did need to delete and re-upload one or two of the images before it would display with the URL.
It makes no difference whether I set the image as a "featured image" or not.