Can you try sending yourself a pic message and then verify it's a constant issue?
Secondly, I have had that happen a very few times but it has happened to me as well.
Lastly, are you using the default texting app or a third party solution such as Handcent, etc?
EDIT - You can find quite a few threads on different sites about this problem. Based on some quick reading, I would suggest:
*If you are using stock messaging, try an alternate app (Handcent perhaps) if you aren't already.
*Now if you ARE already using a third party app for texting/MMS, uninstall it, reboot and then try to see if the problem remains.
Two quick suggestions just to help isolate and possibly eliminate the problem.
Post any updates.