If you insert an image within a post or directly through the media gallery wordpress automagically creates thumbnails. EG: If your image name is let's say "picture.jpg", wordpress automagically creates several thumbnail versions of that file, "picture-150x150.jpg", "picture-300x200.jpg" and so on.
But if you later choose to delete or replace "picture.jpg" all the other generated related files still remain in the "wp-content/uploads/" folder. Thus having to log via ftp and delete them manually. Bummer.