You may have noticed, that for some time a little picture appears next to the (sadly few) comments left on this site. This is an avatar. If you have not set an avatar, one is created automatically. This is generated from your email address (never displayed), and will stay the same when you comment again.
However, you may want to use your own avatar. This is an image which you choose. This site (along with many others) uses the free Gravatar service. This is the Globally Recognised AVATAR (Gravatar, gettit?)
In short, you upload an image of your choice, and associate it with an email address which you own. Thereafter (allowing for caches to be refreshed) that image is used on sites which support gravatars.
For more on gravatars, see this video.