SimplePie, which ships with WordPress, does support images in feeds. Please see the SimplePie Reference if you need to look for specific functions regarding images.
If you want to display images from feeds on your own site, you could for example create a plugin containing a custom widget that reads a feed for images. For example with the get_feed_tags() function to look for IMG-tags. Those can be displayed by the widget then.
Be carefull not to inject content into your site you do not want to inject because of security reasons etc. .